Testing the null of stationarity in the presence of a structural break

Applied Economics Letters

Volumn 8, Issue 6, 2001, Pages 377-382

  Lee, Junsoo ^a   Strazicich, Mark ^b  

^a UNIVERSITY OF CENTRAL FLORIDA   (United States)

^b UNIVERSITY OF NORTH TEXAS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0012798211     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048501750237810     Document Type: Article

References (12)

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4. Lee, J., List, J. and Strazicich, M. (1998) Spurious rejections with the minimum unit root test in the presence of a structural break under the null, working paper, Department of Economics, University of Central Florida.
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6. Lee, J. (1996b) Minimum statistics testing for stationarity in the presence of a structural break, working paper, Department of Economics, Vanderbilt University.
7. Lee, J., Huang, C. and Shin, Y. (1997) On stationarity tests in the presence of structural breaks, Economics Letters, 55, 165-72.
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9. Ouliaris, S. and Phillips, P. C. B. (1994) Coint 2.0, Gauss procedures for cointegrated regressions. Predicta Software Inc.
10. Perron, Pierre (1989) The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361-401.
11. Phillips, P. C. B. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-46.
12. Zivot, Eric and Andrews, D. W. K. (1992) Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis, Journal of Business and Economic Statistics, 10, 251-70.