Testing for a unit root in variables with a double change in the mean

DOI10.1016/S0165-1765(98)00052-4zbMath1284.62523MaRDI QIDQ2442567

Jesús Clemente, Marcelo Bussotti Reyes, Antonio Montanés

Publication date: 3 April 2014

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

zbMATH Keywords

Wiener processunit root testsstructural breakreal interest rate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites Work

• Further evidence on breaking trend functions in macroeconomic variables
• Level shifts, unit roots and misspecification of the breaking date
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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