Tests for Stationarity in Series with Endogenously Determined Structural Change
AbstractWe consider tests of the null hypothesis of stationarity against a unit root alternative, when the series is subject to structural change at an unknown point in time. Three extant tests are reviewed which allow for an endogenously determined instantaneous structural break, and a related fourth procedure is introduced. We further propose tests which permit the structural change to be gradual rather than instantaneous, allowing the null hypothesis to be stationarity about a smooth transition in linear trend. The size and power properties of the tests are investigated, and the tests are applied to four economic time series. Copyright 2004 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 66 (2004)
Issue (Month): 5 (December)
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- Antonio E. Noriega & Cid Alonso Rodríguez-Pérez, 2011. "Stationarity, structural breaks, and economic growth in Mexico: 1895-2008," Working Papers, Banco de MÃ©xico 2011-11, Banco de México.
- 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.
- Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia wp09-10, School of Economics, University of Wollongong, NSW, Australia.
- María Presno & Manuel Landajo, 2010. "Computation of limiting distributions in stationarity testing with a generic trend," Metrika, Springer, Springer, vol. 71(2), pages 165-183, March.
- Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
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