Recursive adjustment, unit root tests and structural breaks
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Recommendations
- Finite-sample properties of modified unit root tests in the presence of structural change.
- Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
- Properties of recursive trend-adjusted unit root tests
- Recursive mean adjustment for unit root tests
Cites work
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
- An invariant sign test for random walks based on recursive median adjustment
- Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- Further evidence on breaking trend functions in macroeconomic variables
- GLS detrending, efficient unit root tests and structural change.
- GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Minimizing the impact of the initial condition on testing for unit roots
- Nonlinear IV unit root tests in panels with cross-sectional dependency.
- On testing for unit roots and the initial observation
- Properties of recursive trend-adjusted unit root tests
- Recursive adjustment, unit root tests and structural breaks
- Recursive mean adjustment and tests for nonstationarities
- Recursive mean adjustment for unit root tests
- Recursive mean adjustment in time-series inferences
- Regression Theory for Near-Integrated Time Series
- Robust methods for detecting multiple level breaks in autocorrelated time series
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- Tests for Unit Roots and the Initial Condition
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
- Unit root tests for time series with level shifts: a comparison of different proposals.
Cited in
(13)- Finite-sample properties of modified unit root tests in the presence of structural change.
- Structural breaks, unit roots and methods for removing the autocorrelation pattern
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- On trend breaks and initial condition in unit root testing
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
- Properties of recursive trend-adjusted unit root tests
- Recursive adjusted unit root tests under non-stationary volatility
- The effect of recursive detrending on panel unit root tests
- Recursive adjustment, unit root tests and structural breaks
- When bubbles burst: econometric tests based on structural breaks
- scientific article; zbMATH DE number 1241069 (Why is no real title available?)
- scientific article; zbMATH DE number 1003092 (Why is no real title available?)
- Finite sample behaviour of the level shift model using quasi-differenced data
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