Spurious number of breaks

Economics Letters

Volumn 50, Issue 2, 1996, Pages 175-178

  Nunes, Luis C ^a   Newbold, Paul ^b   Kuan, Chung Ming ^c  

^a UNIVERSIDADE NOVA DE LISBOA   (Portugal)

^b UNIVERSITY OF NOTTINGHAM   (United Kingdom)

^c NATIONAL TAIWAN UNIVERSITY   (Taiwan)

Author keywords

Model selection; Structural change; Unit root

Indexed keywords

EID: 0030306915     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00746-6     Document Type: Article

References (7)

1. Hendry, D.F. and A.J. Neale, 1991, A Monte Carlo study of the effects of structural breaks on tests for unit roots, in: P. Hackl and A.H. Westlund, eds., Economic structural change: Analysis and forecasting (Springer, New York) 95-119.
2. Nelson, C.R. and C.I. Plosser, 1982, Trends and random walks in macroeconomic time series, Journal of Monetary Economics 10, 139-162.
3. Nunes, L.C., C.-M. Kuan and P. Newbold, 1994, Spurious break, Econometric Theory, in press.
4. Perron, P., 1989, The great crash, the oil price shock and the unit root hypothesis, Econometrica 57, 1361-1401.
5. Reichlin, L., 1989, Structural change and unit root econometrics, Economics Letters 31, 231-233.
6. Yao, Y.-C., 1988, Estimating the number of change-points via Schwarz' criterion, Statistics and Probability Letters 6, 181-189.
7. Zivot, E. and D.W.K. Andrews, 1992, Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis, Journal of Business and Economic Statistics 10, 251-270.