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GLS detrending, efficient unit root tests and structural change

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Author Info
Perron, Pierre
Rodriguez, Gabriel

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File URL: http://www.sciencedirect.com/science/article/B6VC0-488G6SH-1/2/184c573c53e12b9c182cc4e2d1c1d8c1
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 115 (2003)
Issue (Month): 1 (July)
Pages: 1-27
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Handle: RePEc:eee:econom:v:115:y:2003:i:1:p:1-27

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

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  1. Diego Romero-Avila, 2006. "Can the AK Model Be Rescued? New Evidence from Unit Root Tests with Good Size and Power," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
  2. Serge Coulombe, 2000. "New Evidence of Convergence Across Canadian Provinces: The Role of Urbanization," Regional Studies, Taylor and Francis Journals, vol. 34(8), pages 713-725, November. [Downloadable!] (restricted)
    Other versions:
  3. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502_v1, HAL. [Downloadable!]
  4. Heejoon Kang, 2006. "Inappropriate Detrending and Spurious Cointegration," Working Papers 2006-14, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy. [Downloadable!]
    Other versions:
  5. Gawon Yoon, 2003. "The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power," Applied Economics Letters, Taylor and Francis Journals, vol. 10(10), pages 627-631, August. [Downloadable!] (restricted)
  6. Vicente Esteve, . "Política fiscal y productividad del trabajo en la economía española: Un análisis de series temporales," Studies on the Spanish Economy 156, FEDEA. [Downloadable!]
    Other versions:
  7. David Harris & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, . "Testing for a unit root in the presence of a possible break in trend," Discussion Papers 07/04, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
    Other versions:
  8. Juan Carlos Cuestas & Paulo Jose Regis, 2008. "Testing for PPP in Australia: evidence from unit root tests against nonlinear trend stationarity alternatives," Working Papers 2008/3, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
    Other versions:
  9. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
  10. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, School of Economics and Management, University of Aarhus. [Downloadable!]
  11. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000. [Downloadable!]
    Other versions:
  12. Vicente Esteve & Francisco Requena, 2006. "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor and Francis Journals, vol. 13(1), pages 111-128, February. [Downloadable!] (restricted)
  13. Gabriel Rodríguez & Yiagadeesen Samy, 2003. "Analysing the effects of labour standards on US export performance. A time series approach with structural change," Applied Economics, Taylor and Francis Journals, vol. 35(9), pages 1043-1051, January. [Downloadable!] (restricted)
  14. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, . "Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices," Discussion Papers 08/04, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
  15. Juan Carlos Cuestas & Paulo Jose Regis, 2008. "Nonlinearities and the order of integration of oil prices," Working Papers 2008/15, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
  16. Daiki Maki, 2006. "Variance ratio tests for a unit root in the presence of a mean shift: small sample properties and an application to purchasing power parity," Applied Financial Economics, Taylor and Francis Journals, vol. 16(8), pages 607-615, May. [Downloadable!] (restricted)
  17. Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron, 2007. "GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses," Boston University - Department of Economics - Working Papers Series wp2008-019, Boston University - Department of Economics. [Downloadable!]
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