Unit‐root testing against the alternative hypothesis of up to m structural breaks
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Publication:5467598
DOI10.1111/j.1467-9892.2005.00393.xzbMath1091.62075OpenAlexW3124093763MaRDI QIDQ5467598
Publication date: 24 May 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00393.x
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS ⋮ Unit root testing ⋮ Localized level crossing random walk test robust to the presence of structural breaks ⋮ An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks ⋮ A new unit root test with two structural breaks in level and slope at unknown time ⋮ Cointegration testing under structural change: reducing size distortions and improving power of residual based tests ⋮ Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data ⋮ Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS
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