Further comments on stationarity tests in series with structural breaks at unknown points

Journal of Time Series Analysis

Volumn 24, Issue 2, 2003, Pages 137-140

  Busetti, Fabio ^a   Harvey, Andrew ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041500014     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00297     Document Type: Article

References (5)

1. BAI, J. (1994) Least squares estimation of a shift in linear processes. Journal of Time Series Analysis 15, 453-72.
2. _ (1997) Estimation of a change point in multiple regression models. Review of Economics and Statistics 79(4), 551-63.
3. BUSETTI, F. and HARVEY, A. C. (2001) Testing for the presence of a random walk in series with structural breaks. Journal of Time Series Analysis 22, 127-50.
4. HARVEY, D. I. and MILLS, T. C. (2002) A note on Busetti-Harvey tests for stationarity in series with structural breaks. Journal of Time Series Analysis (this issue).
5. NYBLOM, J. (1989) Testing for the constancy of parameters over time. Journal of the American Statistical Association 84, 223-30.