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Unit roots, nonlinearities and structural breaks

Listed author(s):
  • Niels Haldrup

    ()

    (Aarhus University and CREATES)

  • Robinson Kruse

    ()

    (Leibniz Universität Hannover and CREATES)

  • Timo Teräsvirta

    ()

    (Aarhus University and CREATES)

  • Rasmus T. Varneskov

    ()

    (Aarhus University and CREATES)

One of the most infl?uential research ?fields in econometrics over the past decades concerns unit root testing in economic time series. In macro-economics much of the interest in the area originate from the fact that when unit roots are present, then shocks to the time series processes have a persistent effect with resulting policy implications. From a statistical perspective on the other hand, the presence of unit roots has dramatic implications for econometric model building, estimation, and inference in order to avoid the so-called spurious regression problem. The present paper provides a selective review of contributions to the fi?eld of unit root testing over the past three decades. We discuss the nature of stochastic and deterministic trend processes, including break processes, that are likely to affect unit root inference. A range of the most popular unit root tests are presented and their modi?cations to situations with breaks are discussed. We also review some results on unit root testing within the framework of non-linear processes.

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Paper provided by Department of Economics and Business Economics, Aarhus University in its series CREATES Research Papers with number 2012-14.

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Length: 34
Date of creation: 18 Apr 2012
Handle: RePEc:aah:create:2012-14
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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