Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered
C. R. Nelson and C. I. Plosser (1982), in a classic paper, failed to find strong evidence against the null hypothesis of a generating process with a unit autoregressive root for thirteen U.S. macroeconomic time series. P. Perron (1989) claimed that such evidence was available for a majority of these series if the alternative hypothesis was of trend stationarity with a break in 1929. E. Zivot and D. W. K. Andrews (1992) treated the break date as endogenous, then finding strong evidence against the null for a minority of these series. The authors' own analysis extends theirs by permitting a break under the null as well as the alternative hypothesis and allowing for the sequential nature of the testing. Their empirical findings complete the circle. The authors find no strong evidence against the unit root hypothesis for any of the thirteen Neslon-Plosser series. Copyright 1997 by Blackwell Publishing Ltd
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 59 (1997)
Issue (Month): 4 (November)
|Contact details of provider:|| Postal: |
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049Email:
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0305-9049|
When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:59:y:1997:i:4:p:435-48. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.