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Breaking date misspecification error for the level shift KPSS test

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  • Carrion-i-Silvestre, Josep Lluis

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 81 (2003)
Issue (Month): 3 (December)
Pages: 365-371

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Handle: RePEc:eee:ecolet:v:81:y:2003:i:3:p:365-371

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

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  1. Presno, Maria Jose & Lopez, Ana Jesus, 2003. "Response surface estimates of stationarity tests with a structural break," Economics Letters, Elsevier, vol. 78(3), pages 395-399, March.
  2. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  3. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  5. 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.
  6. Lee, Junsoo & Huang, Cliff J. & Shin, Yongcheol, 1997. "On stationary tests in the presence of structural breaks," Economics Letters, Elsevier, vol. 55(2), pages 165-172, August.
  7. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  8. 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, vol. 39(4), pages 1073-1100, November.
  9. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  10. Hecq, Alain & Urbain, Jean-Pierre, 1993. "Misspecification tests, unit roots and level shifts," Open Access publications from Maastricht University urn:nbn:nl:ui:27-15788, Maastricht University.
  11. Montanes, Antonio & Olloqui, Irene, 1999. "Misspecification of the breaking date in segmented trend variables: effect on the unit root tests," Economics Letters, Elsevier, vol. 65(3), pages 301-307, December.
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Cited by:
  1. Seema Narayan & Paresh Kumar Narayan, 2011. "The Importance of Real and Nominal Shocks on the UK Housing Market," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 219-234, December.
  2. Narayan, Paresh Kumar, 2008. "Evidence of panel stationarity from Chinese provincial and regional income," China Economic Review, Elsevier, vol. 19(2), pages 274-286, June.

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