Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests

DOI10.1016/S0165-1765(99)00161-5zbMath1027.91064OpenAlexW2053600959MaRDI QIDQ1606380

Irene Olloqui, Antonio Montanés

Publication date: 1 September 2002

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00161-5

zbMATH Keywords

asymptotic behaviourinferenceunit root tests

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items

Selection of the break in the Perron-type tests, Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses, GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES

Cites Work

• Level shifts, unit roots and misspecification of the breaking date
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis