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

DOI10.1080/10629360600817397MaRDI QIDQ5438726zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Break point estimators for a slope shift: levels versus first differences
• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
• Structural breaks, unit roots and methods for removing the autocorrelation pattern
• Recursive adjustment, unit root tests and structural breaks
• Distinguishing between trend-break models: method and empirical evidence

Cites work

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

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

This page was built for publication: Finite sample behaviour of the level shift model using quasi-differenced data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5438726)