A simple unit root testing methodology that does not require knowledge regarding the presence of a break

DOI10.1080/03610918.2017.1295154OpenAlexW2591282073MaRDI QIDQ5084751FDOQ5084751

Authors: Amit Sen 

Publication date: 28 June 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1295154

zbMATH Keywords

mixed modelunit rootbreak datelevel shift model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Further evidence on breaking trend functions in macroeconomic variables
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Testing for a unit root in the presence of a possible break in trend
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
• New innovational outlier unit root test with a break at an unknown time
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break
• An infimum coefficient unit root test allowing for an unknown break in trend
• A new unit root test with two structural breaks in level and slope at unknown time

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