Bounds, Breaks and Unit Root Tests

DOI10.1111/jtsa.12140zbMath1416.62479OpenAlexW1895507119MaRDI QIDQ2789387

Josep Lluís Carrion-i-Silvestre, María Dolores Gadea

Publication date: 29 February 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/104562

zbMATH Keywords

unit rootmultiple structural breaksregulated Brownian motionlimited time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Regulated seasonal unit root process ⋮ Testing for unit roots in bounded time series

Cites Work

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• Additive Outlier Detection Via Extreme-Value Theory
• Testing for a unit root in time series regression
• Automatic Lag Selection in Covariance Matrix Estimation
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

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