A proof of the power of Kim's test against stationary processes with structural breaks

Econometric Theory

Volumn 21, Issue 6, 2005, Pages 1172-1176

  Belaire Franch, Jorge ^a  

^a UNIVERSITY OF VALENCIA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 25644444462     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466605050589     Document Type: Article

References (5)

1. Busetti, F. & A.M.R. Taylor (2004) Tests of stationarity against a change in persistence. Journal of Econometrics 123, 1-193.
2. Kim, J.-Y. (2000) Detection of a change in persistence of a linear time series. Journal of Econometrics 95, 97-116.
3. Kim, J.-Y., J. Belaire-Franch, & R. Badillo Amador (2002) Corrigendum to "Detection of a change in persistence of a linear time series." Journal of Econometrics 109, 389-392.
4. Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, & Y. Shin (1992) 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, 159-178.
5. Lee, J., C. Huang, & Y. Shin (1997) On stationarity tests in the presence of structural breaks. Economics Letters 55, 165-172.