Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative

DOI10.1080/03610918.2013.800206zbMath1320.62195OpenAlexW2008887732MaRDI QIDQ5265805

Yu Jin Oh, Yuseop Kim

Publication date: 29 July 2015

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

Full work available at URL: https://doi.org/10.1080/03610918.2013.800206

zbMATH Keywords

marginal likelihoodunit root testsmultiple breaks in levelmultiple breaks in variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
• Testing for a unit root in the presence of a variance shift
• Unit root tests with a break in innovation variance.
• A new score test for unit roots in heterogeneous panels -- residual likelihood approach
• Testing for a unit root in variables with a double change in the mean
• TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit‐root testing against the alternative hypothesis of up to m structural breaks

This page was built for publication: Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative