Structural changes and unit roots in non-stationary time series

DOI10.1016/J.JSPI.2011.07.021MaRDI QIDQ643410zbMATH OpenOpenAlexFDO

Authors Boris Brodsky, B. S. Darkhovskij

Publication date 28 October 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2011.07.021

zbMATH Keywords

nonparametric methods

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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Cites work

• scientific article; zbMATH DE number 1688529 (Why is no real title available?)
• scientific article; zbMATH DE number 425941 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Basic properties of strong mixing conditions. A survey and some open questions
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating and Testing Linear Models with Multiple Structural Changes
• Further evidence on breaking trend functions in macroeconomic variables
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• On the central limit theorem for weakly dependent sequences with a decomposed strong mixing coefficient
• Structural breaks with deterministic and stochastic trends
• Structural breaks, unit roots and methods for removing the autocorrelation pattern
• Testing for a unit root in time series regression
• 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?
• The Cusum Test with Ols Residuals
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

Cited in

(6)

• Structural change and unit root econometrics
• Structural change and unit roots
• A simultaneous test of unit root and level change
• Monitoring procedures to detect unit roots and stationarity
• Structural breaks, unit roots and methods for removing the autocorrelation pattern
• Monitoring unit root and multiple structural changes: An information criterion approach

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