Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
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Publication:301954
DOI10.1016/j.jeconom.2008.08.019zbMath1429.62375OpenAlexW2005954167MaRDI QIDQ301954
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.019
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
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- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
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- Structural breaks, unit roots and methods for removing the autocorrelation pattern
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- Testing for a unit root in time series regression
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
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- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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