A new unit root test with two structural breaks in level and slope at unknown time

DOI10.1080/02664760903039883MaRDI QIDQ5123628zbMATH OpenOpenAlexFDO

Authors Paresh Kumar Narayan, Stephan Popp

Publication date 29 September 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760903039883

zbMATH Keywords

break date estimationMonte Carlo simulationsmultiple structural breaksunit root testUS macroeconomic variables

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
• Bounds, breaks and unit root tests
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• Nonparametric unit root test and structural breaks

Cites work

• Further evidence on breaking trend functions in macroeconomic variables
• New innovational outlier unit root test with a break at an unknown time
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit‐root testing against the alternative hypothesis of up to m structural breaks

Cited in

(9)

• Unit roots and structural breaks in OECD unemployment
• Foreign direct investments, renewable electricity output, and ecological footprints: do financial globalization facilitate renewable energy transition and environmental welfare in Bangladesh?
• Bounds, breaks and unit root tests
• A simultaneous test of unit root and level change
• A simple unit root testing methodology that does not require knowledge regarding the presence of a break
• Joint hypothesis specification for unit root tests with a structural break
• Clean energy consumption and economic growth in China: a time-varying analysis
• Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
• Does gender parity in higher education respond asymmetrically to remittances? Evidence from Morocco

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