Arbeitspapier
A Nonlinear Unit Root Test in the Presence of an Unknown Break
The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in coefficient. Taking account of the nonlinearity leads to a test with properties that are exclusively assigned to Schmidt-Phillips LM-type unit root tests.
- ISBN
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978-3-86788-046-6
- Language
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Englisch
- Bibliographic citation
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Series: Ruhr Economic Papers ; No. 45
- Classification
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Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
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Unit root tests
nonlinear regression
structural breaks
innovational outliers
Unit Root Test
Regression
Strukturbruch
Nichtlineares Verfahren
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Popp, Stephan
- Event
-
Veröffentlichung
- (who)
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Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
- (where)
-
Essen
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Popp, Stephan
- Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Time of origin
- 2008
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