Joint hypothesis specification for unit root tests with a structural break
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Publication:5488513
DOI10.1111/j.1368-423X.2006.00182.xzbMath1096.62080MaRDI QIDQ5488513
Josep Lluís Carrion-i-Silvestre, Andreu Sanso
Publication date: 22 September 2006
Published in: The Econometrics Journal (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M07: Non-Markovian processes: hypothesis testing
62F05: Asymptotic properties of parametric tests
Related Items
Quantile regression estimates and the analysis of structural breaks, Spurious regression, A simple testing procedure for unit root and model specification
Cites Work
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- Further evidence on breaking trend functions in macroeconomic variables
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- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag