Unit root testing with stationary covariates and a structural break in the trend function
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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Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated from the unit root component. In this framework simple shift functions result in a smooth transition ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2013
ISSN: 0143-9782
DOI: 10.1111/jtsa.12020