Misspecification tests, unit roots and level shifts
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Bibliographic InfoPaper provided by Maastricht University in its series Open Access publications from Maastricht University with number urn:nbn:nl:ui:27-15788.
Date of creation: 1993
Date of revision:
Publication status: Published in Economics letters (1993) v.43, p.129-135
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Other versions of this item:
- Hecq, Alain & Urbain, Jean-Pierre, 1993. "Misspecification tests, unit roots and level shifts," Economics Letters, Elsevier, vol. 43(2), pages 129-135.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Perron, P., 1989.
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"The Great Crash, The Oil Price Shock And The Unit Root Hypothesis,"
338, Princeton, Department of Economics - Econometric Research Program.
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- Hecq, Alain, 1995.
"Unit root tests with level shift in the presence of GARCH,"
Open Access publications from Maastricht University
urn:nbn:nl:ui:27-15787, Maastricht University.
- Hecq, Alain, 1995. "Unit root tests with level shift in the presence of GARCH," Economics Letters, Elsevier, vol. 49(2), pages 125-130, August.
- María Presno & Anna López, 2003. "Testing for stationarity in series with a shift in the mean. A fredholm approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 12(1), pages 195-213, June.
- Carrion-i-Silvestre, Josep Lluis, 2003. "Breaking date misspecification error for the level shift KPSS test," Economics Letters, Elsevier, vol. 81(3), pages 365-371, December.
- Kim, Dukpa & Perron, Pierre, 2009.
"Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses,"
Journal of Econometrics,
Elsevier, vol. 148(1), pages 1-13, January.
- Mohitosh Kejriwal & Pierre Perron, 2006. "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series WP2006-052, Boston University - Department of Economics.
- Maican, Florin G. & Sweeney, Richard J., 2012. "Cost of Misspecification in Break-Model Unit-Root Tests," Working Papers in Economics 536, University of Gothenburg, Department of Economics.
- Montanes, Antonio, 1997. "Level shifts, unit roots and misspecification of the breaking date," Economics Letters, Elsevier, vol. 54(1), pages 7-13, January.
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