On the asymptotic distribution of a simple unit root test for trending and breaking series
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Publication:419266
DOI10.1016/J.JSPI.2012.02.036zbMath1428.62496OpenAlexW2089509705MaRDI QIDQ419266
Publication date: 18 May 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2012.02.036
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)
Related Items (2)
A simple testing procedure for unit root and model specification ⋮ A simple unit root testing methodology that does not require knowledge regarding the presence of a break
Cites Work
- A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break
- Further evidence on breaking trend functions in macroeconomic variables
- New innovational outlier unit root test with a break at an unknown time
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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