Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change
AbstractThis paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be considered. Later, attention is placed on the asymptotic theory for nonstationary time series proposed by Phillips (1987a), which is applied by Perron (1989) to study the effects of an (assumed) exogenous structural break on the power of the augmented Dickey-Fuller test and by Zivot and Andrews (1992) to criticize the exogeneity assumption and propose a method for estimating an endogenous breakpoint. A systematic method for dealing with e¢ ciency issues is introduced by Perron and RodrÌguez (2003), which extends the Generalized Least Squares detrending approach due to Elliott, Rothenberg, and Stock (1996)
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Bibliographic InfoPaper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2011-319.
Date of creation: 2011
Date of revision:
Publication status: published
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Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
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More information through EDIRC
Hypothesis Testing; Unit Root; Structural Break; Functional Central Limit Theorem; Weak Convergence; Wiener Process; Ornstein-Uhlenbeck Process;
Other versions of this item:
- Juan Carlos Aquino & Gabriel Rodríguez, 2013. "Understanding the functional central limit theorems with some applications to unit root testing with structural change," Revista Economía, Departamento de Economía - Pontificia Universidad Católica del Perú, vol. 36(71), pages 107-149.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-15 (All new papers)
- NEP-ECM-2011-08-15 (Econometrics)
- NEP-ETS-2011-08-15 (Econometric Time Series)
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.:
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Documentos de Trabajo
2011-323, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Gabriel Rodríguez & Alfredo Vargas, 2012. "Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima," Revista Economía, Departamento de Economía - Pontificia Universidad Católica del Perú, vol. 35(70), pages 190-223.
- Aquino, Juan Carlos & Espino, Freddy, 2013. "Terms of Trade and Current Account Fluctuations: a Vector Autoregression Approach," Working Papers 2013-008, Banco Central de Reserva del Perú.
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