منابع مشابه
Unit Roots and Structural Breaks
This special issue deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proven to be of importance for devising procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements and analyses of the properties of existi...
متن کاملUnit Roots, Structural Breaks and Trends
Contents Abstract 1. Introduction 2. Models and preliminary asymptotic theory 2.1. Basic concepts and notation 2.2. The functional central limit theorem and related tools 2.3. Examples and preliminary results 2.4. Generalizations and additional references
متن کاملUnit Roots and Structural Breaks in Panels: Does the Model Specification Matter?
Although the impacts of structural instability on testing for unit root have been studied extensively for univariate time series, such impacts on panel data unit root tests are still relatively unknown. A major issue is the choice of model in accommodating different types of break (instability) prior to testing for unit root. Specifically, researchers must specify a potential break in the inter...
متن کاملThe strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
Economic time series may be generated by a process with a unit autoregressive root, and the generating process may exhibit an abrupt break in trend. It is well known that the outcomes of classical tests for either one of these phenomena can be seriously in#uenced when the presence of the other is ignored. Therefore, care is required in disentangling evidence in the data supporting the two pheno...
متن کاملSeasonal Unit Root Tests Under Structural Breaks
In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2017
ISSN: 2225-1146
DOI: 10.3390/econometrics5020022