Advanced Search
MyIDEAS: Login to save this article or follow this journal

Testing for Unit Roots in Models with Structural Change

Contents:

Author Info

  • Park, Joon Y.
  • Sung, Jaewhan

Abstract

This paper considers the unit root tests in models with structural change. Particular attention is given to their dependency on the limiting ratios of the subsample sizes between breaks. The dependency is analyzed in detail, and the invariant testing procedure based on a transformed model is developed. The required transformation is essentially identical to the generalized least-squares correction for heteroskedasticity. The limiting distributions of the new tests do not depend on the relative sizes of the subsamples and are shown to be simple mixtures of the limiting distributions of the corresponding tests from the independent unit root models without structural change.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://journals.cambridge.org/abstract_S0266466600008926
File Function: link to article abstract page
Download Restriction: no

Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 10 (1994)
Issue (Month): 05 (December)
Pages: 917-936

as in new window
Handle: RePEc:cup:etheor:v:10:y:1994:i:05:p:917-936_00

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:journals@cambridge.org

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
  2. Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
  3. Bowman, Chakriya, 2005. "Yen bloc or koala bloc? Currency relationships after the East Asian crisis," Japan and the World Economy, Elsevier, Elsevier, vol. 17(1), pages 83-96, January.
  4. David I. Stern, 2005. "The Effect of NAFTA on Energy and Environmental Efficiency in Mexico," Rensselaer Working Papers in Economics, Rensselaer Polytechnic Institute, Department of Economics 0511, Rensselaer Polytechnic Institute, Department of Economics.
  5. Stern, David & Enflo, Kerstin, 2013. "Causality Between Energy and Output in the Long-Run," Lund Papers in Economic History, Department of Economic History, Lund University 126, Department of Economic History, Lund University.
  6. Hali J. Edison & Eric Fisher, 1989. "A long-run view of the european monetary system," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 339, Board of Governors of the Federal Reserve System (U.S.).
  7. repec:ebl:ecbull:v:3:y:2008:i:2:p:1-11 is not listed on IDEAS
  8. Snaith, Stuart, 2012. "The PPP debate: Multiple breaks and cross-sectional dependence," Economics Letters, Elsevier, vol. 115(3), pages 342-344.
  9. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, Elsevier, vol. 108(1), pages 63-99, May.
  10. Andre Jungmittag & Hariolf Grupp, 2006. "Wechselwirkungen zwischen Innovations- und Wachstumsprozessen in Deutschland 1951-1999 im Vergleich zu 1850-1913," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 226(2), pages 180-207, March.
  11. Junsoo Lee & John List, 2004. "Examining Trends of Criteria Air Pollutants: Are the Effects of Governmental Intervention Transitory?," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 29(1), pages 21-37, September.
  12. Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics 37696, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  13. Nyong, M. O. & Udah, E. B., 2012. "Industrial Time Series of Nigeria, 1970-2009: Evolution and Unit Root Testing in the Presence of Multiple Endogenous Structural Breaks," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 12(1).
  14. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, Elsevier, vol. 8(3), pages 291-308, September.
  15. Shyh-Wei Chen, 2008. "Are 19 Developed Countries' Real Per Capita GDP levels Non-stationary? A Revisit," Economics Bulletin, AccessEcon, vol. 3(2), pages 1-11.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:10:y:1994:i:05:p:917-936_00. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.