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Breaking date misspecification error for the level shift KPSS test

  • Carrion-i-Silvestre, Josep Lluis

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File URL: http://www.sciencedirect.com/science/article/B6V84-49R5HJS-1/2/5a87625d33465d83b50695696149c8b2
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 81 (2003)
Issue (Month): 3 (December)
Pages: 365-371

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Handle: RePEc:eee:ecolet:v:81:y:2003:i:3:p:365-371
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Universite de Montreal, Departement de sciences economiques.
  2. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  3. Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche 9422, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  5. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  6. 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.
  7. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  8. 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.
  9. Montanes, Antonio & Olloqui, Irene, 1999. "Misspecification of the breaking date in segmented trend variables: effect on the unit root tests," Economics Letters, Elsevier, vol. 65(3), pages 301-307, December.
  10. Presno, Maria Jose & Lopez, Ana Jesus, 2003. "Response surface estimates of stationarity tests with a structural break," Economics Letters, Elsevier, vol. 78(3), pages 395-399, March.
  11. Montanes, Antonio, 1997. "Level shifts, unit roots and misspecification of the breaking date," Economics Letters, Elsevier, vol. 54(1), pages 7-13, January.
  12. Hecq, Alain & Urbain, Jean-Pierre, 1993. "Misspecification tests, unit roots and level shifts," Economics Letters, Elsevier, vol. 43(2), pages 129-135.
  13. Lee, Junsoo & Huang, Cliff J. & Shin, Yongcheol, 1997. "On stationary tests in the presence of structural breaks," Economics Letters, Elsevier, vol. 55(2), pages 165-172, August.
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