IDEAS home Printed from https://ideas.repec.org/a/spr/testjl/v12y2003i1p195-213.html
   My bibliography  Save this article

Testing for stationarity in series with a shift in the mean. A fredholm approach

Author

Listed:
  • María Presno
  • Anna López

Abstract

No abstract is available for this item.

Suggested Citation

  • María Presno & Anna López, 2003. "Testing for stationarity in series with a shift in the mean. A fredholm approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 12(1), pages 195-213, June.
    • Handle: RePEc:spr:testjl:v:12:y:2003:i:1:p:195-213
    DOI: 10.1007/BF02595819
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF02595819
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/BF02595819?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    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.
    3. Hecq, Alain & Urbain, Jean-Pierre, 1993. "Misspecification tests, unit roots and level shifts," Economics Letters, Elsevier, vol. 43(2), pages 129-135.
    4. Stock, James H., 1994. "Deciding between I(1) and I(0)," Journal of Econometrics, Elsevier, vol. 63(1), pages 105-131, July.
    5. Nabeya, Seiji & Tanaka, Katsuto, 1990. "A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors," Econometrica, Econometric Society, vol. 58(1), pages 145-163, January.
    6. Nabeya, Seiji & Perron, Pierre, 1994. "Local asymptotic distribution related to the AR(1) model with dependent errors," Journal of Econometrics, Elsevier, vol. 62(2), pages 229-264, June.
    7. Busetti, Fabio & Harvey, Andrew, 2008. "Testing For Trend," Econometric Theory, Cambridge University Press, vol. 24(1), pages 72-87, February.
    8. Clemente, Jesus & Montanes, Antonio & Reyes, Marcelo, 1998. "Testing for a unit root in variables with a double change in the mean," Economics Letters, Elsevier, vol. 59(2), pages 175-182, May.
    9. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
    10. Tanaka, Katsuto, 1990. "Testing for a Moving Average Unit Root," Econometric Theory, Cambridge University Press, vol. 6(4), pages 433-444, December.
    11. 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.
    12. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
    13. 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.
    14. Choi, In & Chul Ahn, Byung, 1998. "Testing the null of stationarity for multiple time series," Journal of Econometrics, Elsevier, vol. 88(1), pages 41-77, November.
    15. repec:cup:etheor:v:6:y:1990:i:4:p:433-44 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Francisco Delgado & Maria Jose Presno, 2011. "Convergence of fiscal pressure in the EU: a time series approach," Applied Economics, Taylor & Francis Journals, vol. 43(28), pages 4257-4267.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Josep Carrion-i-Silvestre & Andreu Sansó, 2007. "The KPSS test with two structural breaks," Spanish Economic Review, Springer;Spanish Economic Association, vol. 9(2), pages 105-127, June.
    2. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013. "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 142-164, May.
    3. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June.
    4. Cleomar Gomes da Silva & Flávio Vilela Vieira, 2014. "BRICS countries: real interest rates and long memory," Economics Bulletin, AccessEcon, vol. 34(1), pages 409-419.
    5. Congregado, Emilio & Garcia-Clemente, Javier & Rubino, Nicola & Vilchez, Inmaculada, 2023. "Testing hysteresis for the US and UK involuntary part-time employment," MPRA Paper 118115, University Library of Munich, Germany.
    6. Skrobotov, Anton, 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.
    7. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013. "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 142-164, May.
    8. Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
    9. Francis Ahking, 2003. "Efficient unit root tests of real exchange rates in the post-Bretton Woods era," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-12.
    10. Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2002. "Level shifts in a panel data based unit root test. An application to the rate of unemployment," Working Papers in Economics 79, Universitat de Barcelona. Espai de Recerca en Economia.
    11. Matteo Lanzafame, 2010. "The nature of regional unemployment in Italy," Empirical Economics, Springer, vol. 39(3), pages 877-895, December.
    12. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
    13. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
    14. Jushan Bai & Josep Lluís Carrion-I-Silvestre, 2009. "Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(2), pages 471-501.
    15. Monojit Chatterji & Homagni Choudhury, 2010. "The Changing Inter-Industry Wage Structure of the Organised Manufacturing Sector in India, 1973-74 to 2003-04," Dundee Discussion Papers in Economics 244, Economic Studies, University of Dundee.
    16. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Testing for a change in persistence in the presence of non-stationary volatility," Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November.
    17. Olivier Darné & Claude Diebolt, 2006. "Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis," Revue d'économie politique, Dalloz, vol. 116(1), pages 65-78.
    18. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
    19. Basma Bekdache & Christopher F. Baum, 1999. "A re-evaluation of empirical tests of the Fisher hypothesis," Computing in Economics and Finance 1999 944, Society for Computational Economics, revised 18 Sep 2000.
    20. Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.

    More about this item

    Keywords

    Structural change; LBI; statistic; asymptotic behaviour; 91B84; 62M10;
    All these keywords.

    JEL classification:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:testjl:v:12:y:2003:i:1:p:195-213. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.