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On stationary tests in the presence of structural breaks

  • Lee, Junsoo
  • Huang, Cliff J.
  • Shin, Yongcheol

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File URL: http://www.sciencedirect.com/science/article/B6V84-3SX27X4-1K/2/01212e0e8945d3f9f08b2dbac1cf7d0d
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 55 (1997)
Issue (Month): 2 (August)
Pages: 165-172

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Handle: RePEc:eee:ecolet:v:55:y:1997:i:2:p:165-172
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Tanaka, Katsuto, 1990. "Testing for a Moving Average Unit Root," Econometric Theory, Cambridge University Press, vol. 6(04), pages 433-444, December.
  2. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  3. 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.
  4. Amsler, Christine & Lee, Junsoo, 1995. "An LM Test for a Unit Root in the Presence of a Structural Change," Econometric Theory, Cambridge University Press, vol. 11(02), pages 359-368, February.
  5. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  6. Ahn & Byung Chul, 1994. "Testing the null of stationarity in the presence of structural breaks for multiple time series," Econometrics 9411001, EconWPA, revised 08 Nov 1994.
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