Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points
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Volume (Year): 24 (2003)
Issue (Month): 2 (March)
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- Kaddour Hadri & Rolf Larsson & Yao Rao, 2012.
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- Anton Skrobotov, 2013. "Local Structural Trend Break in Stationarity Testing," Working Papers 0074, Gaidar Institute for Economic Policy, revised 2013.
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- Fabio Busetti & A. M. Robert Taylor, 2003. "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Temi di discussione (Economic working papers) 470, Bank of Italy, Economic Research and International Relations Area.
- Skrobotov Anton, 2013. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 33-61, December.
- Anton Skrobotov, 2012. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Working Papers 0043, Gaidar Institute for Economic Policy, revised 2013.
- Anton Skrobotov, 2014. "A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time," Working Papers 0102, Gaidar Institute for Economic Policy, revised 2014.
- Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
- Anton Skrobotov, 2012. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian," Working Papers 0044, Gaidar Institute for Economic Policy, revised 2012.
- Massimiliano Affinito & Fabio Farabullini, 2009. "Does the Law of One Price Hold in Euro-Area Retail Banking? An Empirical Analysis of Interest Rate Differentials across the Monetary Union," International Journal of Central Banking, International Journal of Central Banking, vol. 5(1), pages 5-37, March.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2013. "Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics," Journal of Econometrics, Elsevier, vol. 177(2), pages 265-284.
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