Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

DOI10.1016/S0304-4076(03)00117-9zbMath1026.62086OpenAlexW2145569147MaRDI QIDQ1410564

A. M. Robert Taylor, Fabio Busetti

Publication date: 14 October 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00117-9

zbMATH Keywords

tablesstationarity testsstructural breakspre-filteringbias-corrected testsunattended unit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items

TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS, The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach, Seasonal Unit Root Tests Under Structural Breaks*, Spurious regression due to neglected of non-stationary volatility, A nonparametric unit root test under nonstationary volatility, ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY, Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots, The effects of additive outliers on the seasonal KPSS test: a Monte Carlo analysis, A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

Uses Software

• Ox

Cites Work

• Seasonal integration and cointegration
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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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• TESTS OF COMMON STOCHASTIC TRENDS
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis