A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS

DOI10.1017/S0266466605050589zbMath1083.62082OpenAlexW2010744062MaRDI QIDQ3377448

Jorge Belaire-Franch

Publication date: 22 March 2006

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

Full work available at URL: https://doi.org/10.1017/s0266466605050589

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Tests of stationarity against a change in persistence
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• On stationary tests in the presence of structural breaks
• Detection of change in persistence of a linear time series