A joint test for structural stability and a unit root in autoregressions

DOI10.1016/j.csda.2012.07.027zbMath1506.62148OpenAlexW2088778171MaRDI QIDQ1623553

Jean-Yves Pitarakis

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.07.027

zbMATH Keywords

nonlinear dynamicsunit rootsstructural breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (2)

On infimum Dickey-Fuller unit root tests allowing for a trend break under the null ⋮ A simple testing procedure for unit root and model specification

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