Joint hypothesis specification for unit root tests with a structural break

DOI10.1111/J.1368-423X.2006.00182.XMaRDI QIDQ5488513zbMATHOpenAlexFDO

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

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)

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

Cites work

• scientific article; zbMATH DE number 1228064 (Why is no real title available?)
• Further evidence on breaking trend functions in macroeconomic variables
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Structural breaks with deterministic and stochastic trends
• 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

Cited in

(9)

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

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