Joint hypothesis specification for unit root tests with a structural break-Reference-Cited by-同舟云学术

Joint hypothesis specification for unit root tests with a structural break

Published:2006-04-18 Issue:2 Volume:9 Page:196-224
ISSN:1368-4221
Container-title:The Econometrics Journal
language:en
Short-container-title:

Author:

Carrion‐i‐Silvestre Josep Lluís¹,Sansó Andreu²

Affiliation:

1. Grup de Recerca AQR, Departament d'Econometria, Estadística i Economia Espanyola, Universitat de Barcelona, Spain E‐mail:carrion@ub.edu

2. Departament d'Economia Aplicada, Universitat de les Illes Balears, Spain

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Link

http://academic.oup.com/ectj/article-pdf/9/2/196/25784736/ectj0196.pdf

Reference26 articles.

1. Least squares estimation of a shift in linear processes;Bai;Journal of Time Series Analysis,1994

2. Estimation of a change point in multiple regression models;Bai;Review of Economics and Statistics,1997

3. Recursive and sequential tests of the unit‐root and trend‐break hypotheses: Theory and international evidence;Banerjee;Journal of Business & Economic Statistics,1992

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4. Testing for a Deterministic Trend When There is Evidence of Unit Root;Journal of Time Series Econometrics;2011-01-19

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