Structural breaks, unit roots and methods for removing the autocorrelation pattern
type: Item
instance of: scholarly article
title: Structural breaks, unit roots and methods for removing the autocorrelation pattern
zbMATH Open document ID: 1122.62327
DOI: 10.1016/S0167-7152(00)00023-7
published in: Statistics \& Probability Letters
publication date: 2000-08-10T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1487085
author: Antonio Montañés
author: Marcelo Bussotti Reyes
MaRDI profile type: Publication
cites work: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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cites work: Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
cites work: Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
cites work: The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
cites work: Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
cites work: The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
cites work: Testing for a unit root in time series regression
cites work: Testing for unit roots in autoregressive-moving average models of unknown order
full work available at URL: s0167-7152(00)00023-7
OpenAlex ID: W1963633849
Wikidata QID: Q127027697
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description: scientific article; zbMATH DE number 1487085