Joint hypothesis specification for unit root tests with a structural break

DOI10.1111/J.1368-423X.2006.00182.XzbMath1096.62080OpenAlexW2120667130MaRDI QIDQ5488513

Josep Lluís Carrion-i-Silvestre, Andreu Sanso

Publication date: 22 September 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00182.x

zbMATH Keywords

tablestime seriesunit root testsstructural changejoint hypothesespseudo F-tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (3)

A simple testing procedure for unit root and model specification ⋮ Spurious regression ⋮ Quantile regression estimates and the analysis of structural breaks

Cites Work

• Unnamed Item
• Structural breaks with deterministic and stochastic trends
• Further evidence on breaking trend functions in macroeconomic variables
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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