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Los contrastes de raíz unitaria con cambio estructural: una panorámica

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Author Info

  • Maria del Mar Sanchez de la Vega

    (Departamento de métodos cuantitativos para la economía.Universidad de Murcia)

  • Arielle Beyaert

    (Departamento de métodos cuantitativos para la economía.Universidad de Murcia)

Abstract

El presente artículo ofrece una panorámica de los contrastes específicos de raíz unitaria en presencia de cambio estructural propuestos en la literatura, que pretende servir de guía práctica para el investigador que necesite hacer uso de este tipo de técnicas. Estos contrastes contribuyen a paliar el problema de baja potencia que presentan los tests tradicionales de raíz unitaria cuando la serie cambia de media, y por tanto son los que conviene utilizar en estas situaciones. The aim of this paper is to offer a survey of the tests specifically designed to contrast the existence of a unit root in series affected by structural change in their first moment. It intends to serve as a guide por the applied researcher who needs to determine the order of integration of a series. These tests contribute to solve the problem of low power of the traditional unit root tests in situations where the mean of the series changes at discrete points of time; for this reason, they are appropiate in these cases.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 2 (1994)
Issue (Month): (Diciembre)
Pages: 107-143

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Handle: RePEc:lrk:eeaart:2_3_5

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Related research

Keywords: Tests; Unit Roots; integrated variables; structural change;

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References

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  1. 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.
  2. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  3. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen.
  4. Balke, Nathan S. & Fomby, Thomas B., 1991. "Infrequent permanent shocks and the finite-sample performance of unit root tests," Economics Letters, Elsevier, vol. 36(3), pages 269-273, July.
  5. Apostolos Serletis, 1992. "The Random Walk in Canadian Output," Canadian Journal of Economics, Canadian Economics Association, vol. 25(2), pages 392-406, May.
  6. 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.
  7. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
  8. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  9. 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.
  10. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  11. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-50, July.
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