A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00362-009-0276-y.pdf
Reference6 articles.
1. Perron P (1989) The great crash, the oil price shock and the unit root hypothesis. Econometrica 57: 1361–1401
2. Perron P (1990) Testing for a unit root in a time series with a changing in the mean. J Bus Econom Stat 8: 153–162
3. Perron P (1997) Further evidence on breaking trend functions in macroeconomic variables. J Econom 80: 355–385
4. Perron P, Vogelsang TJ (1992) Nonstationarity and level shifts with an application to purchasing power parity. J Bus Econom Stat 10: 301–320
5. Popp S (2008) New innovational outlier unit root test with a break at an unknown time. J Stat Comput Simul 78: 1145–1161
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A simple unit root testing methodology that does not require knowledge regarding the presence of a break;Communications in Statistics - Simulation and Computation;2017-06-15
2. On the asymptotic distribution of a simple unit root test for trending and breaking series;Journal of Statistical Planning and Inference;2012-07
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