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A joint test for a unit root and common factor restrictions in the presence of a structural break

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  • Lee, Junsoo
  • Amsler, Christine

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Bibliographic Info

Article provided by Elsevier in its journal Structural Change and Economic Dynamics.

Volume (Year): 8 (1997)
Issue (Month): 2 (June)
Pages: 221-232

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Handle: RePEc:eee:streco:v:8:y:1997:i:2:p:221-232

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Web page: http://www.elsevier.com/locate/inca/525148

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References

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  1. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
  2. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  3. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  4. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
  5. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
  6. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  7. Junsoo Lee & Dante Mossi, 1996. "On improvements of Phillips-Perron unit root tests using optimal bandwidth estimates," Applied Economics Letters, Taylor & Francis Journals, vol. 3(3), pages 197-200.
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Cited by:
  1. Stephan Popp, 2008. "A Nonlinear Unit Root Test in the Presence of an Unknown Break," Ruhr Economic Papers 0045, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

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