Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative

DOI10.1080/03610918.2013.800206zbMath1320.62195MaRDI QIDQ5265805

Yu Jin Oh, Yuseop Kim

Publication date: 29 July 2015

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

Full work available at URL: https://doi.org/10.1080/03610918.2013.800206

zbMATH Keywords

marginal likelihood; unit root tests; multiple breaks in level; multiple breaks in variance

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

62M07: Non-Markovian processes: hypothesis testing

Cites Work

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• Unit root tests with a break in innovation variance.
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• TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
• 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