Unit root tests and structural change when the initial observation is drawn from its unconditional distribution

DOI10.1111/J.1368-423X.2006.00183.XMaRDI QIDQ5488514zbMATH OpenFDO

Authors Hui Liu, Gabriel Rodríguez

Publication date 22 September 2006

Published in Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

tablespower envelopestructural changeunit rootinitial conditionGLS detrendingfeasible optimal point test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

• 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
• Tests for Unit Roots and the Initial Condition
• 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

(3)

• Structural change and unit root econometrics
• Tests for Unit Roots and the Initial Condition
• On trend breaks and initial condition in unit root testing

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