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Los contrastes de raíz unitaria con cambio estructural: una panorámica

Author

Listed:
  • Maria del Mar Sanchez de la Vega

    (Departamento de métodos cuantitativos para la economía.Universidad de Murcia)

  • Arielle Beyaert

    (Departamento de métodos cuantitativos para la economía.Universidad de Murcia)

Abstract

El presente artículo ofrece una panorámica de los contrastes específicos de raíz unitaria en presencia de cambio estructural propuestos en la literatura, que pretende servir de guía práctica para el investigador que necesite hacer uso de este tipo de técnicas. Estos contrastes contribuyen a paliar el problema de baja potencia que presentan los tests tradicionales de raíz unitaria cuando la serie cambia de media, y por tanto son los que conviene utilizar en estas situaciones. The aim of this paper is to offer a survey of the tests specifically designed to contrast the existence of a unit root in series affected by structural change in their first moment. It intends to serve as a guide por the applied researcher who needs to determine the order of integration of a series. These tests contribute to solve the problem of low power of the traditional unit root tests in situations where the mean of the series changes at discrete points of time; for this reason, they are appropiate in these cases.

Suggested Citation

  • Maria del Mar Sanchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raíz unitaria con cambio estructural: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 2, pages 107-143, Diciembre.
  • Handle: RePEc:lrk:eeaart:2_3_5
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    References listed on IDEAS

    as
    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    2. 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.
    3. Balke, Nathan S. & Fomby, Thomas B., 1991. "Infrequent permanent shocks and the finite-sample performance of unit root tests," Economics Letters, Elsevier, vol. 36(3), pages 269-273, July.
    4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    5. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-287, July.
    6. Apostolos Serletis, 1992. "The Random Walk in Canadian Output," Canadian Journal of Economics, Canadian Economics Association, vol. 25(2), pages 392-406, May.
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    10. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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    More about this item

    Keywords

    Tests; Unit Roots; integrated variables; structural change;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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