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Title: Bounds, breaks and unit root tests
Author: Carrión i Silvestre, Josep Lluís
Gadea Rivas, María Dolores
Keywords: Econometria
Anàlisi de sèries temporals
Anàlisi de regressió
Funcions analítiques
Operadors integrals
Time-series analysis
Regression analysis
Analytic functions
Integral operators
Issue Date: Mar-2016
Publisher: John Wiley & Sons
Abstract: The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and position of the structural breaks. The performance of the statistics is investigated by means of Monte Carlo simulations.
Note: Versió postprint del document publicat a:
It is part of: Journal of Time Series Analysis, 2016, vol. 37, num. 2, p. 165-181
Related resource:
ISSN: 0143-9782
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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