Unit root testing under a local break in trend

DOI10.1016/j.jeconom.2011.10.006zbMath1441.62726OpenAlexW2240493411MaRDI QIDQ738141

David I. Harvey, A. M. Robert Taylor, Stephen J. Leybourne

Publication date: 15 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.10.006

zbMATH Keywords

unit root testadaptive critical valuesasymptotic local powerlocal trend breakunion of rejections

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics ⋮ On trend breaks and initial condition in unit root testing ⋮ Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending

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