TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS

DOI10.1017/S0266466607070466zbMath1237.62112MaRDI QIDQ2886980

Giuseppe Cavaliere, Iliyan Georgiev

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Cointegration Rank Estimation for High-Dimensional Time Series With Breaks ⋮ Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables ⋮ Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap ⋮ TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative

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