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Misspecification of the breaking date in segmented trend variables: effect on the unit root tests

  • Montanes, Antonio
  • Olloqui, Irene

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3Y80GBS-6/2/178f5caf7ce12227448dd2a888ea89aa
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 65 (1999)
Issue (Month): 3 (December)
Pages: 301-307

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Handle: RePEc:eee:ecolet:v:65:y:1999:i:3:p:301-307
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Josep Lluis Carrion Silvestre & Andreu Sanso & Manuel Artis Ortuno, 1998. "Response surfaces for the dickey-fuller unit root test with structural breaks," Working Papers in Economics 25, Universitat de Barcelona. Espai de Recerca en Economia.
  2. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
  3. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  4. Monta s, Antonio & Reyes, Marcelo, 1998. "Effect Of A Shift In The Trend Function On Dickey Fuller Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 14(03), pages 355-363, June.
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