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Spurious Rejections by Perron Tests in the Presence of a Break

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  • Kim, Tae-Hwan
  • Leybourne, Stephen J
  • Newbold, Paul

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 62 (2000)
Issue (Month): 3 (July)
Pages: 433-44

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Handle: RePEc:bla:obuest:v:62:y:2000:i:3:p:433-44

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Cited by:
  1. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers, Business School - Economics, University of Glasgow 2006_10, Business School - Economics, University of Glasgow.
  2. Maican, Florin G. & Sweeney, Richard J., 2012. "Cost of Misspecification in Break-Model Unit-Root Tests," Working Papers in Economics, University of Gothenburg, Department of Economics 536, University of Gothenburg, Department of Economics.
  3. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502, HAL.
  4. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(1), pages 167-180.
  5. Abdul Rahman & Samir Saadi, 2007. "Is South Korea's stock market efficient? A note," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(1), pages 71-74.
  6. Mohitosh Kejriwal & Pierre Perron, 2006. "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2006-052, Boston University - Department of Economics.
  7. Rahman, Abdul & Saadi, Samir, 2008. "Random walk and breaking trend in financial series: An econometric critique of unit root tests," Review of Financial Economics, Elsevier, Elsevier, vol. 17(3), pages 204-212, August.
  8. Popp, Stephan, 2007. "Identification of the true break date in innovational outlier unit root tests," IBES Diskussionsbeiträge 152, University of Duisburg-Essen, Faculty for Economics and Business Administration.
  9. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(7), pages 1449-1465, October.
  10. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.

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