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Structural breaks with deterministic and stochastic trends

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Author Info
Perron, Pierre
Zhu, Xiaokang

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 129 (2005)
Issue (Month): 1-2 ()
Pages: 65-119
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Handle: RePEc:eee:econom:v:129:y:2005:i:1-2:p:65-119

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  1. Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  2. Antonio E. Noriega & Daniel Ventosa-Santaularia, . "Spurious Regression and Trending Variables," School of Economics Working Papers EM200701, Universidad de Guanajuato. [Downloadable!]
    Other versions:
  3. Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics. [Downloadable!]
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  4. Gadea, Maria & Mayoral, Laura, 2005. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," MPRA Paper 815, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  5. Daniel Ventosa-Santaularia & Antonio E. Noriega, 2005. "Spurious regression under broken trend stationarity," Computing in Economics and Finance 2005 186, Society for Computational Economics. [Downloadable!]
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  6. Mohitosh Kejriwal & Pierre Perron, 2006. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series WP2006-064, Boston University - Department of Economics. [Downloadable!]
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  7. 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!]
  8. Travaglini, Guido, 2008. "Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes," MPRA Paper 7108, University Library of Munich, Germany. [Downloadable!]
  9. Antonio E. Noriega & Daniel Ventosa-Santaularia, . "Spurious regression under deterministic and stochastic trends," School of Economics Working Papers EM200503, Universidad de Guanajuato. [Downloadable!]
  10. Jonathan Treussard, 2005. "On the Validity of Risk Measures over Time: Value-at-Risk, Conditional Tail Expectations and the Bodie-Merton-Perold Put," Boston University - Department of Economics - Working Papers Series WP2005-029, Boston University - Department of Economics. [Downloadable!]
  11. Pierre Perron & Tomoyoshi Yabu, 2007. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-025, Boston University - Department of Economics. [Downloadable!]
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  12. R. Velazquez & A.E. Noriega & L.M. Soria, 2004. "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings 57, Econometric Society. [Downloadable!]
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