Tests of stationarity against a change in persistence

Journal of Econometrics

Volumn 123, Issue 1, 2004, Pages 33-66

  Busetti, Fabio ^a   Taylor, A M Robert ^b  

^a BANK OF ITALY   (Italy)

^b UNIVERSITY OF BIRMINGHAM   (United Kingdom)

Author keywords

LBI tests; Persistence changes; Trend breaks; Unknown direction of change

Indexed keywords

LOCALLY BEST INVARIANT (LBI) TESTS; PERSISTENCE CHANGES; TREND BREAKS; UNKNOWN DIRECTION OF CHANGE;

COMPUTER SIMULATION; INTEGRATION; RANDOM PROCESSES; STATISTICAL TESTS; THEOREM PROVING;

TIME SERIES ANALYSIS;

EID: 2542437242     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2003.10.028     Document Type: Article

References (25)

1. Andrews D.W.K. Tests for parameter instability and structural change with unknown change point. Econometrica. 61:1993;821-856.
2. Andrews D.W.K., Ploberger W. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica. 62:1994;1383-1414.
3. Banerjee A., Lumsdaine R., Stock J. Recursive and sequential tests of the unit root and trend break hypotheses. theory and international evidence Journal of Business and Economics Statistics. 10:1992;271-288.
4. Bai J. Estimation of a change point in multiple regression models. Review of Economics and Statistics. 79:1997;551-563.
5. Busetti F., Harvey A.C. Testing for the presence of a random walk in series with structural breaks. Journal of Time Series Analysis. 22:2001;127-150.
6. Busetti F., Harvey A.C. Further comments on stationarity tests in series with structural breaks at unknown points. Journal of Time Series Analysis. 29:2003;137-140.
7. Busetti, F., Taylor, A.M.R., 2001. Tests of stationarity against a change in persistence, University of Birmingham, Department of Economics, Discussion Paper 01-13.
8. Chan N.H., Wei C.Z. Limiting distributions of least squares estimates of unstable autoregressive processes. Annals of Statistics. 16:1988;367-401.
9. Doornik J.A. Object-oriented matrix programming using Ox 2.0. 1998;Timberlake Consultants Press, London.
10. Elliott G., Stock J.H. Inference in time series regression when the order of integration of a regressor is unknown. Econometric Theory. 10:1994;672-700.
11. Hansen, B.E., 1991. Testing for structural change of unknown form in models with nonstationary regressors, Department of Economics, University of Rochester, Mimeo.
12. Hansen B.E. Approximate asymptotic p-values for structural-change tests. Journal of Business and Economic Statistics. 15:1997;60-67.
13. Harvey A.C. Testing in unobserved components models. Journal of Forecasting. 20:2001;1-19.
14. Kim J.Y. Detection of change in persistence of a linear times series. Journal of Econometrics. 95:2000;97-116.
15. Kim J.Y., Belaire Franch J., Badilli Amador R. Corrigendum to "Detection of change in persistence of a linear times series" Journal of Econometrics. 109:2002;389-392.
16. King M.L., Hillier G.H. Locally best invariant tests of the error covariance matrix of the linear regression model. Journal of the Royal Statistical Society, (Series B). 47:1985;98-102.
17. Kurozumi E. Testing for stationarity with a break. Journal of Econometrics. 108:2002;63-99.
18. Kwiatkowski D., Phillips P.C.B., Schmidt P., Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root. how sure are we that economic time series have a unit root? Journal of Econometrics. 54:1992;159-178.
19. Leybourne, S.J., Kim, T.-H., Smith, V., Newbold, P., 2000. Tests for a change in persistence against the null of difference-stationarity, Department of Economics, University of Nottingham, UK, Mimeo.
20. MacNeill I. Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times. Annals of Statistics. 6:1978;422-433.
21. Nyblom J. Testing for the constancy of parameters over time. Journal of the American Statistical Association. 84:1989;223-230.
22. Nyblom J., Mäkeläinen T. Comparisons of tests for the presence of random walk coefficients in a simple linear model. Journal of the American Statistical Association. 78:1983;856-864.
23. Phillips P.C.B., Perron P. Testing for a unit root in time series regression. Biometrika. 75:1988;335-346.
24. Stock, J.H., 1994. Unit roots, structural breaks and trends. In: Engle, R.F., McFadden, D.L. (Eds.), Handbook of Econometrics, Vol. 4, Elsevier, Amsterdam, pp. 2739-2840.
25. Zivot E., Andrews D.W.K. Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics. 10:1992;251-270.