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.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 373 Discussion Paper ; No. 2000,13
- Classification
-
Wirtschaft
- Subject
-
unit roots
long memory
structural breaks
- Event
-
Geistige Schöpfung
- (who)
-
Gil-Alaña, Luis A.
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
-
2000
- Handle
- URN
-
urn:nbn:de:kobv:11-10047173
- Last update
-
10.03.2025, 11:46 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
- Gil-Alaña, Luis A.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2000
Other Objects (12)
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Testing of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks
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A nonlinear unit root test in the presence of an unknown break
A Nonlinear Unit Root Test in the Presence of an Unknown Break
Seasonal Unit Root Tests under Structural Breaks
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Unit Root Tests in the Presence of Innovational Outliers
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Unit Root Tests for Time Series with a Structural Break
The effects of variance breaks on homogenous panel unit root tests
Unit root tests for time series with a structural break: When the break point is known
Testing of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks
Unit roots and structural breaks
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A nonlinear unit root test in the presence of an unknown break
A Nonlinear Unit Root Test in the Presence of an Unknown Break
Seasonal Unit Root Tests under Structural Breaks
Seasonal Unit Root Tests under Structural Breaks
Unit Root Tests in the Presence of Innovational Outliers
Unit root tests in the presence of innovational outliers
Unit Root Tests for Time Series with a Structural Break
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