Testing the null of stationarity in the presence of a structural break
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Testing the null of stationarity in the presence of a structural break
A test for stationarity in the presence of a structural break is proposed. An unknown break point is endogenously determined at the value minimizing the test statistic. The break point can be estimated reasonably well under the null hypothesis of stationarity, especially when the magnitude of the break is large.
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Testing the Null of Stationarity in the Presence of Structural Breaks for Multiple Time Series
This paper introduces various consistent tests for the null hypothesis of stationarity with possibly unknown multiple structural break points against the alternative of nonstationarity that can be applied to multiple as well as univariate time series. These tests can be applied to either partial or pure structural breaks. It is shown that tests for stationarity become divergent when structural ...
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2001
ISSN: 1350-4851,1466-4291
DOI: 10.1080/135048501750237810