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Misspecification of the breaking date in segmented trend variables: effect on the unit root tests

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  • Montanes, Antonio
  • Olloqui, Irene

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File URL: http://www.sciencedirect.com/science/article/B6V84-3Y80GBS-6/2/178f5caf7ce12227448dd2a888ea89aa
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 65 (1999)
Issue (Month): 3 (December)
Pages: 301-307

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Handle: RePEc:eee:ecolet:v:65:y:1999:i:3:p:301-307

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
  2. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  3. Josep Lluis Carrion Silvestre & Andreu Sanso & Manuel Artis Ortuno, 1998. "Response surfaces for the dickey-fuller unit root test with structural breaks," Working Papers in Economics 25, Universitat de Barcelona. Espai de Recerca en Economia.
  4. Monta s, Antonio & Reyes, Marcelo, 1998. "Effect Of A Shift In The Trend Function On Dickey Fuller Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 14(03), pages 355-363, June.
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Cited by:
  1. Carrion-i-Silvestre, Josep Lluis, 2003. "Breaking date misspecification error for the level shift KPSS test," Economics Letters, Elsevier, vol. 81(3), pages 365-371, December.
  2. 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 WP2006-052, Boston University - Department of Economics.

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