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Article

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Accepted version

Publication date

2016-03

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/104562

Bounds, breaks and unit root tests

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Related resource

http://dx.doi.org/10.1111/jtsa.12140

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.

Subject

Econometria, Anàlisi de sèries temporals, Anàlisi de regressió, Funcions analítiques, Operadors integrals

Subject (English)

Econometrics, Time-series analysis, Regression analysis, Analytic functions, Integral operators

Citation

Collections

Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citation

CARRIÓN I SILVESTRE, Josep Lluís and GADEA RIVAS, María Dolores. Bounds, breaks and unit root tests. Journal of Time Series Analysis. 2016. Vol. 37, num. 2, pags. 165-181. ISSN 0143-9782. [consulted: 8 of June of 2026]. Available at: https://hdl.handle.net/2445/104562

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