A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break

DOI10.1007/S00362-009-0276-YzbMath1434.62026OpenAlexW2044049650MaRDI QIDQ641788

Mauro Costantini, Stephan Popp

Publication date: 25 October 2011

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0276-y

zbMATH Keywords

asymptotic distributionsunit root testsstructural break

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (2)

A simple unit root testing methodology that does not require knowledge regarding the presence of a break ⋮ On the asymptotic distribution of a simple unit root test for trending and breaking series

Cites Work

• Further evidence on breaking trend functions in macroeconomic variables
• New innovational outlier unit root test with a break at an unknown time
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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