Finite sample behaviour of the level shift model using quasi-differenced data

DOI10.1080/10629360600817397zbMath1127.62018OpenAlexW2042952317MaRDI QIDQ5438726

Gabriel Rodríguez

Publication date: 28 January 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600817397

zbMATH Keywords

structural changeinformation criteriaunit root testGLS detrendingtruncation lag

Mathematics Subject Classification ID

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

Related Items (2)

TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND ⋮ Unit root testing with stationary covariates and a structural break in the trend function

Cites Work

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• Testing for a unit root in time series regression
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Time Series Regression with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Efficient Tests for an Autoregressive Unit Root

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