메뉴 건너뛰기




Volumn 25, Issue 4, 2009, Pages 995-1029

Simple, robust, and powerful tests of the breaking trend hypothesis

Author keywords

[No Author keywords available]

Indexed keywords


EID: 69849110021     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466608090385     Document Type: Article
Times cited : (64)

References (26)
  • 1
    • 0001162133 scopus 로고
    • Tests for parameter instability and structural change with unknown change point
    • Andrews, D.W.K. (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.
    • (1993) Econometrica , vol.61 , pp. 821-856
    • Andrews, D.W.K.1
  • 2
    • 0000209591 scopus 로고
    • Optimal tests when a nuisance parameter is present only under the alternative
    • Andrews, D.W.K. & W. Ploberger (1994) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383-1414.
    • (1994) Econometrica , vol.62 , pp. 1383-1414
    • Andrews, D.W.K.1    Ploberger, W.2
  • 3
    • 0346906789 scopus 로고    scopus 로고
    • Estimating and testing linear models with multiple structural changes
    • Bai, J. & P. Perron (1998) Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78.
    • (1998) Econometrica , vol.66 , pp. 47-78
    • Bai, J.1    Perron, P.2
  • 4
    • 0037286212 scopus 로고    scopus 로고
    • Computation and analysis of multiple structural change models
    • Bai, J. & P. Perron (2003) Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18, 1-22.
    • (2003) Journal of Applied Econometrics , vol.18 , pp. 1-22
    • Bai, J.1    Perron, P.2
  • 5
    • 38249009281 scopus 로고
    • Gaussian estimation of a second order continuous time macroeconometric model of the UK
    • Bergstrom, A.R., K.B. Nowman, & C.R. Wymer (1992) Gaussian estimation of a second order continuous time macroeconometric model of the UK. Economic Modelling 9, 313-351.
    • (1992) Economic Modelling , vol.9 , pp. 313-351
    • Bergstrom, A.R.1    Nowman, K.B.2    Wymer, C.R.3
  • 6
    • 0242374881 scopus 로고    scopus 로고
    • Nonparametric tests for unit roots and cointegration
    • Breitung, J. (2002) Nonparametric tests for unit roots and cointegration. Journal of Econometrics 108, 343-363.
    • (2002) Journal of Econometrics , vol.108 , pp. 343-363
    • Breitung, J.1
  • 7
    • 84952494734 scopus 로고
    • Tests for parameter instability in regressions with I(1) processes
    • Hansen, B.E. (1992) Tests for parameter instability in regressions with I(1) processes. Journal of Business and Economic Statistics 10, 321-335.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 321-335
    • Hansen, B.E.1
  • 9
    • 0036971953 scopus 로고    scopus 로고
    • Consistent covariance matrix estimation for linear processes
    • Jansson, M. (2002) Consistent covariance matrix estimation for linear processes. Econometric Theory 18, 1449-1459.
    • (2002) Econometric Theory , vol.18 , pp. 1449-1459
    • Jansson, M.1
  • 10
    • 34247480179 scopus 로고
    • 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?
    • 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.
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 13
    • 0040279397 scopus 로고    scopus 로고
    • Econometric estimation of a continuous time macroeconomic model of the United Kingdom with segmented trends
    • Nowman, K.B. (1998) Econometric estimation of a continuous time macroeconomic model of the United Kingdom with segmented trends. Computational Economics 12, 243-254.
    • (1998) Computational Economics , vol.12 , pp. 243-254
    • Nowman, K.B.1
  • 14
    • 0031482024 scopus 로고    scopus 로고
    • Testing for unit roots with breaks: Evidence on the great crash and the unit root hypothesis reconsidered
    • Nunes, L.C., P. Newbold, & C. Kuan (1997) Testing for unit roots with breaks: Evidence on the great crash and the unit root hypothesis reconsidered. Oxford Bulletin of Economics and Statistics 59, 435-448.
    • (1997) Oxford Bulletin of Economics and Statistics , vol.59 , pp. 435-448
    • Nunes, L.C.1    Newbold, P.2    Kuan, C.3
  • 17
    • 0000899296 scopus 로고
    • The great crash, the oil price shock, and the unit root hypothesis
    • Perron, P. (1989) The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57, 1361-1401.
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 18
    • 26844582137 scopus 로고    scopus 로고
    • Structural breaks with deterministic and stochastic trends
    • Perron, P. & X. Zhu (2005) Structural breaks with deterministic and stochastic trends. Journal of Econometrics 129, 65-119.
    • (2005) Journal of Econometrics , vol.129 , pp. 65-119
    • Perron, P.1    Zhu, X.2
  • 19
    • 0000245909 scopus 로고    scopus 로고
    • New tools for understanding spurious regressions
    • Phillips, P.C.B. (1998) New tools for understanding spurious regressions. Econometrica 66, 1299-1325.
    • (1998) Econometrica , vol.66 , pp. 1299-1325
    • Phillips, P.C.B.1
  • 21
    • 0030528942 scopus 로고    scopus 로고
    • Evidence on structural instability in macroeconomic time series relations
    • Stock, J.H. & M.W. Watson (1996) Evidence on structural instability in macroeconomic time series relations. Journal of Business and Economic Statistics 14, 11-30.
    • (1996) Journal of Business and Economic Statistics , vol.14 , pp. 11-30
    • Stock, J.H.1    Watson, M.W.2
  • 22
    • 0012675693 scopus 로고    scopus 로고
    • A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series
    • In R.F. Engle and H. White (eds.), Oxford University Press
    • Stock, J.H. & M.W. Watson (1999) A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series. In R.F. Engle and H. White (eds.), Cointegration, Causality and Forecasting: A Festschrift in Honour of Clive W.J. Granger, 1-44. Oxford University Press.
    • (1999) Cointegration, Causality and Forecasting: A Festschrift in Honour of Clive W.J. Granger , pp. 1-44
    • Stock, J.H.1    Watson, M.W.2
  • 24
    • 0001760867 scopus 로고    scopus 로고
    • Trend function hypothesis testing in the presence of serial correlation
    • Vogelsang, T.J. (1998) Trend function hypothesis testing in the presence of serial correlation. Econometrica 66, 123-148.
    • (1998) Econometrica , vol.66 , pp. 123-148
    • Vogelsang, T.J.1
  • 25
    • 0347569984 scopus 로고    scopus 로고
    • Additional tests for a unit root allowing the possibility of breaks in the trend function
    • Vogelsang, T.J. & P. Perron (1998) Additional tests for a unit root allowing the possibility of breaks in the trend function. International Economic Review 39, 1073-1100.
    • (1998) International Economic Review , vol.39 , pp. 1073-1100
    • Vogelsang, T.J.1    Perron, P.2
  • 26
    • 28444488750 scopus 로고
    • Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis
    • Zivot, E. & D.W.K. 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.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 251-270
    • Zivot, E.1    Andrews, D.W.K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.