Effect of a shift in the trend function on Dickey-Fuller unit root tests

Econometric Theory

Volumn 14, Issue 3, 1998, Pages 355-363

  Montañés, Antonio ^a,b   Reyes, Marcelo ^a  

^a UNIVERSITY OF ZARAGOZA   (Spain)

^b UNIVERSITY OF ZARAGOZA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 17944371716     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466698143049     Document Type: Article

References (9)

1. Banerjee, A., R. Lumsdaine, & J. Stock (1992) Recursive and sequential tests of the unit-root and trend-break hypothesis theory and international evidence. Journal of Business and Economic Statistics 10, 271-287.
2. Christiano, L. (1992) Searching for a break in GNP. Journal of Business and Economic Statistics 10, 237-250.
3. Dickey, D. & W. Fuller (1979) Distribution of the estimators for autoregressive time series. Journal of the American Statistical Association 74, 427-431.
4. Nelson, C. & C. Plosser (1982) Trends and random walks in macroeconomic time-series. Journal of Monetary Economics 10, 139-162.
5. Perron, P. (1989) The Great Crash, the oil price shock, and the unit root hypothesis. Econometrica 57, 1361-1401.
6. Perron, P. (1990) Testing for a unit root in a time series with a changing mean. Journal of Business and Economic Statistics 8, 153-162.
7. Perron, P. & T. Vogelsang (1992) Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics 10, 301-320.
8. Rappoport, P. & L. Reichlin (1989) Segmented trends and nonstationary lime series. Economic Journal 99, 168-177.
9. Zivot, E. & D. 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.