A simple unit root testing methodology that does not require knowledge regarding the presence of a break

DOI10.1080/03610918.2017.1295154OpenAlexW2591282073MaRDI QIDQ5084751

Amit Sen

Publication date: 28 June 2022

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

Full work available at URL: https://doi.org/10.1080/03610918.2017.1295154

zbMATH Keywords

unit rootmixed modelbreak datelevel shift model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• New innovational outlier unit root test with a break at an unknown time
• TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
• GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• A new unit root test with two structural breaks in level and slope at unknown time

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