Unit root testing under a local break in trend
نویسندگان
چکیده
منابع مشابه
Unit root testing under a local break in trend
Recent approaches to testing for a unit root when uncertainty exists over the presence and timing of a trend break employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary statistic. While these methods achieve near asymptotic e ciency in both xed trend break and no trend break environments, in nite samples pronounced \valleys" in...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2012
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2011.10.006