Joint hypothesis specification for unit root tests with a structural break

DOI10.1111/J.1368-423X.2006.00182.XzbMATH Open1096.62080OpenAlexW2120667130MaRDI QIDQ5488513FDOQ5488513

Authors: Josep Lluís Carrion-I-Silvestre, Andreu Sanso 

Publication date: 22 September 2006

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00182.x

Recommendations

• A joint test for structural stability and a unit root in autoregressions
• Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance
• Unit‐root testing against the alternative hypothesis of up to m structural breaks
• A new unit root test with two structural breaks in level and slope at unknown time
• Nonparametric unit root test and structural breaks

zbMATH Keywords

tablestime seriesstructural changeunit root testsjoint hypothesespseudo F-tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Further evidence on breaking trend functions in macroeconomic variables
• Structural breaks with deterministic and stochastic trends
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Title not available (Why is that?)

Cited In (9)

• Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks
• Model specification in panel data unit root tests with an unknown break
• A joint test for structural stability and a unit root in autoregressions
• Quantile regression estimates and the analysis of structural breaks
• Spurious regression
• A simple testing procedure for unit root and model specification
• The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root
• Unit‐root testing against the alternative hypothesis of up to m structural breaks
• Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance

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