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Computation of limiting distributions in stationarity testing with a generic trend

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  • María Presno

    ()

  • Manuel Landajo

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00184-008-0224-1
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    Bibliographic Info

    Article provided by Springer in its journal Metrika.

    Volume (Year): 71 (2010)
    Issue (Month): 2 (March)
    Pages: 165-183

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    Handle: RePEc:spr:metrik:v:71:y:2010:i:2:p:165-183

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    Web page: http://www.springerlink.com/link.asp?id=102509

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    Related research

    Keywords: LM testing; Characteristic function; Limiting distribution; Fredholm determinant; Deterministic trend;

    References

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    1. Donggyu Sul & Peter C.B. Phillips & Choi, Chi-Young, 2003. "Prewhitening Bias in HAC Estimation," Cowles Foundation Discussion Papers 1436, Cowles Foundation for Research in Economics, Yale University.
    2. 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.
    3. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
    4. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
    5. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
    6. Junsoo Lee & Mark Strazicich, 2001. "Testing the null of stationarity in the presence of a structural break," Applied Economics Letters, Taylor and Francis Journals, vol. 8(6), pages 377-382.
    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. David I. Harvey & Terence C. Mills, 2004. "Tests for Stationarity in Series with Endogenously Determined Structural Change," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 863-894, December.
    9. Fabio Busetti & Andrew C Harvey, 1998. "Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.)," STICERD - Econometrics Paper Series /1998/365, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
    11. Tanaka, Katsuto, 1990. "Testing for a Moving Average Unit Root," Econometric Theory, Cambridge University Press, vol. 6(04), pages 433-444, December.
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    Cited by:
    1. Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.

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