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Breaking date misspecification error for the level shift KPSS test

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  • Carrion-i-Silvestre, Josep Lluis

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  • Carrion-i-Silvestre, Josep Lluis, 2003. "Breaking date misspecification error for the level shift KPSS test," Economics Letters, Elsevier, vol. 81(3), pages 365-371, December.
    • Handle: RePEc:eee:ecolet:v:81:y:2003:i:3:p:365-371
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    1. 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.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "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?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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    4. Hecq, Alain & Urbain, Jean-Pierre, 1993. "Misspecification tests, unit roots and level shifts," Economics Letters, Elsevier, vol. 43(2), pages 129-135.
    5. Montanes, Antonio, 1997. "Level shifts, unit roots and misspecification of the breaking date," Economics Letters, Elsevier, vol. 54(1), pages 7-13, January.
    6. Perron, P, 1993. "Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]," Econometrica, Econometric Society, vol. 61(1), pages 248-249, January.
    7. Vogelsang, Timothy J & Perron, Pierre, 1998. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1073-1100, November.
    8. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    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. 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.
    11. Fabio Busetti & Andrew Harvey, 2001. "Testing for the Presence of a Random Walk in Series with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(2), pages 127-150, March.
    12. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
    13. Montañés, 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(3), pages 355-363, June.
    14. Junsoo Lee & Mark Strazicich, 2001. "Testing the null of stationarity in the presence of a structural break," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 377-382.
    15. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
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    Cited by:

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    2. Anton Skrobotov, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    3. Narayan, Paresh Kumar, 2008. "Evidence of panel stationarity from Chinese provincial and regional income," China Economic Review, Elsevier, vol. 19(2), pages 274-286, June.
    4. Basher Syed A. & Carrion-i-Silvestre Josep Lluís, 2009. "Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
    5. Seema Narayan & Paresh Kumar Narayan, 2011. "The Importance of Real and Nominal Shocks on the UK Housing Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 219-234, December.
    6. Mariam Camarero & Josep Lluís Carrion‐i‐Silvestre & Cecilio Tamarit, 2010. "Does Real Interest Rate Parity Hold For Oecd Countries? New Evidence Using Panel Stationarity Tests With Cross‐Section Dependence And Structural Breaks," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(5), pages 568-590, November.

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