Finite sample behaviour of the level shift model using quasi-differenced data

DOI10.1080/10629360600817397zbMATH Open1127.62018OpenAlexW2042952317MaRDI QIDQ5438726FDOQ5438726

Authors: Gabriel Rodríguez 

Publication date: 28 January 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600817397

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zbMATH Keywords

information criteriaunit root teststructural changeGLS detrendingtruncation lag

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Tests for Parameter Instability and Structural Change With Unknown Change Point
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Testing for a unit root in time series regression
• Time Series Regression 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?
• Testing for unit roots in autoregressive-moving average models of unknown order
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Further evidence on breaking trend functions in macroeconomic variables
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Efficient Tests for an Autoregressive Unit Root
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• On the Theory of Testing for Unit Roots in Observed Time Series
• GLS detrending, efficient unit root tests and structural change.

Cited In (2)

• Testing for a unit root in the presence of a possible break in trend
• Unit root testing with stationary covariates and a structural break in the trend function

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