A NOTE ON BUSETTI-HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS

DOI10.1111/1467-9892.00300zbMath1113.62100OpenAlexW1980373897MaRDI QIDQ3440781

David I. Harvey, Terence C. Mills

Publication date: 29 May 2007

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

Full work available at URL: https://figshare.com/articles/A_Note_on_Busetti-Harvey_tests_for_stationarity_in_series_with_structural_breaks/9493286

zbMATH Keywords

critical valuerandom walkstructural break

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Bias correction of KPSS test with structural break for reducing of size distortion ⋮ Breaking the panels: An application to the GDP per capita ⋮ A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

Cites Work

• 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?
• Testing for the Presence of a Random Walk in Series with Structural Breaks

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