An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks

DOI10.1016/j.econlet.2006.11.016zbMath1255.91436OpenAlexW2066875719MaRDI QIDQ1934075

Claudio Lupi, Mauro Costantini

Publication date: 28 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.11.016

zbMATH Keywords

panel dataunit rootsstructural breaks

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects ⋮ Bootstrap innovational outlier unit root tests in dependent panels

Cites Work

• Testing the null of stationarity for multiple time series
• Shortfalls of panel unit root testing
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing for a unit root in variables with a double change in the mean
• Estimating and Testing Linear Models with Multiple Structural Changes
• Unit‐root testing against the alternative hypothesis of up to m structural breaks

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