Arbeitspapier
Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989) we observe that our results might be consistent with them when testing the nulls of trendstationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in this context of structural breaks at a known period of time.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2000,13
- Klassifikation
-
Wirtschaft
- Thema
-
unit roots
long memory
structural breaks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gil-Alaña, Luis A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:kobv:11-10047173
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gil-Alaña, Luis A.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2000
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