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Structural Changes and Unit Roots: Distinguishing Models of Nonstationary Time Series

  • Brodsky, Boris

    ()

    (CEMI RAS, Moscow, Russia)

Registered author(s):

    The problem of testing the hypothesis of stochastic nonstationarity (structural changes, unit roots) in univariate time series is studied in the paper. A new method of distinguishing between hypotheses of an unknown point of structural break and a unit root is proposed and its properties in the case of dependent observations are studied. The theorem of convergence to zero of the probability of accepting the false hypothesis with the sample size going to the infinity has been proved. Then the method is further analyzed in computer simulations of samples of dependent observations. Finally, applications of the method to econometric time series are considered.

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    File URL: http://pe.cemi.rssi.ru/pe_2008_3_52-63.pdf
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    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 11 (2008)
    Issue (Month): 3 ()
    Pages: 52-63

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    Handle: RePEc:ris:apltrx:0121
    Contact details of provider: Web page: http://appliedeconometrics.cemi.rssi.ru/

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    7. 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.
    8. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
    9. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
    10. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Testing for Shifts in Trend With an Integrated or Stationary Noise Component," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 369-396.
    11. Montañés, Antonio & Reyes, Marcelo, 2000. "Structural breaks, unit roots and methods for removing the autocorrelation pattern," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 401-409, July.
    12. 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 1057-72, June.
    13. Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics.
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