GLS detrending, efficient unit root tests and structural change

Journal of Econometrics

Volumn 115, Issue 1, 2003, Pages 1-27

  Perron, Pierre ^a   Rodríguez, Gabriel ^b  

^a Boston University   (United States)

^b UNIVERSITY OF OTTAWA   (Canada)

Author keywords

Change point; Information criteria; Integrated process; Quasi differencing; Truncation lag

Indexed keywords

ALGEBRA; ASYMPTOTIC STABILITY; COMPUTATIONAL METHODS; COMPUTER SIMULATION; ERROR ANALYSIS; MATHEMATICAL MODELS; REGRESSION ANALYSIS;

ASYMPTOTIC DISTRIBUTIONS; SPECTRAL DENSITY ESTIMATORS;

ECONOMICS;

EID: 0038803230     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00090-3     Document Type: Article

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