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Statistics and Probability Letters
Volumn 48, Issue 4, 2000, Pages 401-409
Structural breaks, unit roots and methods for removing the autocorrelation pattern
Author keywords

62J05; Dickey Fuller tests; Phillips Perron tests* Structural break; Unit roots
Indexed keywords

EID: 0042779795     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(00)00023-7     Document Type: Article
Times cited : (13)
References (13)
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  • 2
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  • 3
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    • Testing for unit roots using the augmented Dickey-Fuller test
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    • Harris, R.I.D.1
  • 4
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    • Spurious rejection by Dickey-Fuller tests in the presence of a break under the null
    • Leybourne S.J., Mills T.C., Newbold P. Spurious rejection by Dickey-Fuller tests in the presence of a break under the null. J. Econom. 87:1998;191-203.
    • (1998) J. Econom. , vol.87 , pp. 191-203
    • Leybourne, S.J.1    Mills, T.C.2    Newbold, P.3
  • 5
    • 17944371716 scopus 로고    scopus 로고
    • The asymptotic behaviour of the Dickey-Fuller unit root tests under a shift in the trend function
    • Montañés A., Reyes M. The asymptotic behaviour of the Dickey-Fuller unit root tests under a shift in the trend function. Econom. Theory. 14:1998;355-363.
    • (1998) Econom. Theory , vol.14 , pp. 355-363
    • Montañés, A.1    Reyes, M.2
  • 6
    • 0009318601 scopus 로고    scopus 로고
    • The asymptotic behaviour of the Dickey-Fuller unit root tests under the crash hypothesis
    • Montañés A., Reyes M. The asymptotic behaviour of the Dickey-Fuller unit root tests under the crash hypothesis. Statist. Probab. Lett. 42:1999;81-89.
    • (1999) Statist. Probab. Lett. , vol.42 , pp. 81-89
    • Montañés, A.1    Reyes, M.2
  • 7
    • 0000706085 scopus 로고
    • A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey W., West K. A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica. 55:1987;703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 8
    • 21844518679 scopus 로고
    • Unit root test in ARMA models with data-dependent methods for the selection of the truncation lag
    • Ng S., Perron P. Unit root test in ARMA models with data-dependent methods for the selection of the truncation lag. J. Amer. Statist. Assoc. 90:1995;268-281.
    • (1995) J. Amer. Statist. Assoc. , vol.90 , pp. 268-281
    • Ng, S.1    Perron, P.2
  • 9
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    • The great crash, the oil shock and the unit root hypothesis
    • Perron P. The great crash, the oil shock and the unit root hypothesis. Econometrica. 57:1989;1361-1402.
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    • Perron, P.1
  • 10
    • 84948500109 scopus 로고
    • Testing for a unit root in a time series with a changing mean
    • Perron P. Testing for a unit root in a time series with a changing mean. J. Business Econom. Statist. 8:1990;153-162.
    • (1990) J. Business Econom. Statist. , vol.8 , pp. 153-162
    • Perron, P.1
  • 11
    • 0000867368 scopus 로고
    • Trend, unit root and structural change in macroeconomic time series
    • B.B. Rao. St. Martin's Press
    • Perron P. Trend, unit root and structural change in macroeconomic time series. Rao B.B. Cointegration for the Applied Economist. 1994;St. Martin's Press.
    • (1994) Cointegration for the Applied Economist.
    • Perron, P.1
  • 12
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    • Testing for a unit root in time series regression
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  • 13
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    • Testing for unit roots in autoregressive-moving average models of unknown order
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    • Said, S.E.1    Dickey, D.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.