The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks

DOI10.1081/SAC-200033390zbMath1101.62365OpenAlexW2006463826MaRDI QIDQ3155648

Steven Cook, Neil Manning

Publication date: 17 January 2005

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sac-200033390

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites Work

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