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http://hdl.handle.net/2445/104562| 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 Econometrics 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: http://dx.doi.org/10.1111/jtsa.12140 |
| It is part of: | Journal of Time Series Analysis, 2016, vol. 37, num. 2, p. 165-181 |
| URI: | http://hdl.handle.net/2445/104562 |
| Related resource: | http://dx.doi.org/10.1111/jtsa.12140 |
| ISSN: | 0143-9782 |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 656579.pdf | 227.51 kB | Adobe PDF | View/Open |
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