Unit Root Tests and Structural Breaks
Author | : Paramsothy Silvapulle |
Publisher | : |
Total Pages | : 30 |
Release | : 1995 |
Genre | : Monte Carlo method |
ISBN | : |
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Author | : Paramsothy Silvapulle |
Publisher | : |
Total Pages | : 30 |
Release | : 1995 |
Genre | : Monte Carlo method |
ISBN | : |
Author | : G. S. Maddala |
Publisher | : Cambridge University Press |
Total Pages | : 528 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780521587822 |
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author | : Uwe Hassler |
Publisher | : |
Total Pages | : 31 |
Release | : 2001 |
Genre | : |
ISBN | : 9783935058292 |
Author | : Pierre Perron |
Publisher | : MDPI |
Total Pages | : 167 |
Release | : 2018-04-13 |
Genre | : Business & Economics |
ISBN | : 3038428116 |
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Author | : Traoré, Fousseini |
Publisher | : Intl Food Policy Res Inst |
Total Pages | : 24 |
Release | : 2021-12-31 |
Genre | : Political Science |
ISBN | : |
Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.
Author | : Paulo M.M Rodrigues |
Publisher | : |
Total Pages | : 0 |
Release | : 2012 |
Genre | : |
ISBN | : |
In this paper, we introduce unit root tests for time series with a potential structural break computed from test regressions in which the deterministic components have been recursively adjusted. We present finite sample critical values as well as Monte Carlo results on the size and power performance of the new procedures, and compare these with other available tests in the literature, such as OLS and quasi-differenced based tests (see, for instance, Perron, (1997)Perron and Rodriguez, (2003) and Carrion-i-Silvestre et al. (2009)). The small sample behaviour of the tests is evaluated in a known and an unknown break date context allowing for negligible and non-negligible initial conditions. In the unknown break date case, two break date estimation procedures are considered, one based on the minimum unit root t-statistic and the other based on the minimum sum of squared residuals obtained from a regression on a set of deterministic variables. The size and power performance of the recursive adjustment based procedure in the unknown break date case is encouraging. A further result of this paper relates to the aditional finite sample evidence on the performance of quasi-differenced unit root tests, complementing the results in Perron and Rodriguez (2003).
Author | : Charbel Bassil |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
In this paper, we review the recent econometric methods related to unit root tests. The central idea is the interaction between structural breaks and unit roots. We consider the standard Dickey-Fuller test and its modifications that allow under the alternative hypothesis one or multiple structural breaks. The break dates are endogenous and the number of breaks may be unknown. We investigate the size and power of these tests. Thus we consider the problem of estimating the number of structural breaks and the problem of estimating the break dates. A second type of test is reviewed, the LM unit root tests that allow under the null and the alternative hypothesis one or two unknown breaks. We also discuss the tests of structural breaks built for a stationary variables. We distinguish two types of tests: tests for a single break and tests for multiple breaks.
Author | : David F. Hendry |
Publisher | : |
Total Pages | : 11 |
Release | : 1989 |
Genre | : Time-series analysis |
ISBN | : |
Author | : B Bhaskara Rao (Ed.) |
Publisher | : Allied Publishers |
Total Pages | : 254 |
Release | : 1997 |
Genre | : |
ISBN | : 9788170237211 |
Author | : Helmut Lütkepohl |
Publisher | : |
Total Pages | : 24 |
Release | : 1999 |
Genre | : |
ISBN | : |