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A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break

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  • Mauro Costantini

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  • Stephan Popp

    ()

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Suggested Citation

  • Mauro Costantini & Stephan Popp, 2011. "A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break," Statistical Papers, Springer, vol. 52(3), pages 677-682, August.
  • Handle: RePEc:spr:stpapr:v:52:y:2011:i:3:p:677-682
    DOI: 10.1007/s00362-009-0276-y
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    References listed on IDEAS

    as
    1. 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.
    2. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    3. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
    4. 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 153-162, April.
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    Keywords

    Unit root tests; Structural break; Asymptotic distributions; 62E20; 62F05;

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    Statistics

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