Testing for stationarity with a break

DOI10.1016/S0304-4076(01)00106-3zbMath1020.62078OpenAlexW2100352342MaRDI QIDQ1867712

Eiji Kurozumi

Publication date: 2 April 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00106-3

zbMATH Keywords

tablesstructural changeinnovational outlier modeltrend stationary

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Related Items (13)

Confidence sets for the date of a single break in linear time series regressions ⋮ Nonparametric panel stationarity testing with an application to crude oil production ⋮ R/S-bootstrapping test for fractional integration ⋮ Nonparametric pseudo-Lagrange multiplier stationarity testing ⋮ Moving ratio test for multiple changes in persistence ⋮ Bias correction of KPSS test with structural break for reducing of size distortion ⋮ Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics ⋮ Computation of limiting distributions in stationarity testing with a generic trend ⋮ Testing for the Null Hypothesis of Cointegration with a Structural Break ⋮ Tests of stationarity against a change in persistence ⋮ Bias-adjusted estimation in the ARX(1) model ⋮ Stationarity testing under nonlinear models. Some asymptotic results ⋮ A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

Cites Work

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• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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