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Recursive adjustment, unit root tests and structural breaks

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  • Paulo M. M. Rodrigues

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Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 34 (2013)
Issue (Month): 1 (01)
Pages: 62-82

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Handle: RePEc:bla:jtsera:v:34:y:2013:i:1:p:62-82

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References

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  1. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2009. "Assessing and improving the performance of nearly efficient unit root tests in small samples," Munich Reprints in Economics, University of Munich, Department of Economics 20017, University of Munich, Department of Economics.
  3. David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, . "Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis," Discussion Papers 06/11, University of Nottingham, School of Economics.
  4. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1361-1401, November.
  5. Phillips, Peter C B, 1988. "Regression Theory for Near-Integrated Time Series," Econometrica, Econometric Society, Econometric Society, vol. 56(5), pages 1021-43, September.
  6. Elliott, Graham & Muller, Ulrich K., 2006. "Minimizing the impact of the initial condition on testing for unit roots," Journal of Econometrics, Elsevier, Elsevier, vol. 135(1-2), pages 285-310.
  7. Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, Elsevier, vol. 75(2), pages 203-208, April.
  8. Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, Econometric Society, vol. 71(4), pages 1269-1286, 07.
  9. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-83, August.
  10. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 15(4), pages 117-128, Fall.
  11. Chang, Yoosoon, 2002. "Nonlinear IV unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, Elsevier, vol. 110(2), pages 261-292, October.
  12. David I. Harvey & Stephen J. Leybourne, 2005. "On testing for unit roots and the initial observation," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 8(1), pages 97-111, 03.
  13. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics, Boston College Department of Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  14. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(2), pages 139-162.
  15. Kim, Dukpa & Perron, Pierre, 2009. "Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses," Journal of Econometrics, Elsevier, Elsevier, vol. 148(1), pages 1-13, January.
  16. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Unit root testing in practice: dealing with uncertainty over the trend and initial condition," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 07/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  17. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 271-87, July.
  18. Saikkonen, Pentti & L tkepohl, Helmut, 2002. "Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 18(02), pages 313-348, April.
  19. Amsler, Christine & Lee, Junsoo, 1995. "An LM Test for a Unit Root in the Presence of a Structural Change," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(02), pages 359-368, February.
  20. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 09/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  21. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 25-44, January.
  22. Donggyu Sul & Peter C.B. Phillips & Choi, Chi-Young, 2003. "Prewhitening Bias in HAC Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1436, Cowles Foundation for Research in Economics, Yale University.
  23. Vogelsang, Timothy J & Perron, Pierre, 1998. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1073-1100, November.
  24. Paulo M. M. Rodrigues & A. M. Robert Taylor, 2012. "The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super-," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 74(5), pages 736-759, October.
  25. PERRON, Pierre & RODRIGUEZ, Gabriel, 1998. "GLS Detrending, Efficient Unit Root Tests and Structural Change," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9809, Universite de Montreal, Departement de sciences economiques.
  26. Lawrence J. Christiano, 1988. "Searching For a Break in GNP," NBER Working Papers 2695, National Bureau of Economic Research, Inc.
  27. So, Beong Soo & Shin, Dong Wan, 1999. "Recursive mean adjustment in time-series inferences," Statistics & Probability Letters, Elsevier, Elsevier, vol. 43(1), pages 65-73, May.
  28. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen.
  29. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  30. Taylor, A M Robert, 2002. "Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(2), pages 269-81, April.
  31. Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers, European University Institute ECO2004/31, European University Institute.
  32. Ralf Becker & Walter Enders & Junsoo Lee, 2006. "A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 27(3), pages 381-409, 05.
  33. Carrion-i-Silvestre, Josep Lluís & Kim, Dukpa & Perron, Pierre, 2009. "Gls-Based Unit Root Tests With Multiple Structural Breaks Under Both The Null And The Alternative Hypotheses," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(06), pages 1754-1792, December.
  34. Chi-Young Choi & Nelson C. Mark & Donggyu Sul, 2010. "Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 72(5), pages 567-599, October.
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Cited by:
  1. Anton Skrobotov, 2014. "On Trend, Breaks and Initial Condition in Unit Root Testing," Working Papers, Gaidar Institute for Economic Policy 0097, Gaidar Institute for Economic Policy, revised 2014.
  2. Nuno Sobreira & Luis C. Nunes & Paulo M. M. Rodrigues, 2014. "Characterizing Economic Growth Paths Based On New Structural Change Tests," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 845-861, 04.

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