Misspecification tests, unit roots and level shifts

DOI10.1016/0165-1765(93)90025-8zbMath0800.62780OpenAlexW2120624450MaRDI QIDQ1319617

Alain Hecq, Jean-Pierre Urbain

Publication date: 12 April 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(93)90025-8

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (6)

Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses ⋮ Level shifts, unit roots and misspecification of the breaking date ⋮ Testing for stationarity in series with a shift in the mean. A Fredholm approach ⋮ Statistical Adequacy and the Testing of Trend Versus Difference Stationarity ⋮ Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks ⋮ GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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