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Bounds, breaks and unit root tests

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dc.contributor.authorCarrión i Silvestre, Josep Lluís
dc.contributor.authorGadea Rivas, María Dolores
dc.date.accessioned2016-12-09T11:45:38Z
dc.date.available2017-04-07T22:01:22Z
dc.date.issued2016-03
dc.date.updated2016-12-09T11:45:43Z
dc.description.abstractThe 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.
dc.format.extent17 p.
dc.format.mimetypeapplication/pdf
dc.identifier.idgrec656579
dc.identifier.issn0143-9782
dc.identifier.urihttps://hdl.handle.net/2445/104562
dc.language.isoeng
dc.publisherJohn Wiley & Sons
dc.relation.isformatofVersió postprint del document publicat a: http://dx.doi.org/10.1111/jtsa.12140
dc.relation.ispartofJournal of Time Series Analysis, 2016, vol. 37, num. 2, p. 165-181
dc.relation.urihttp://dx.doi.org/10.1111/jtsa.12140
dc.rights(c) John Wiley & Sons, 2016
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject.classificationEconometria
dc.subject.classificationAnàlisi de sèries temporals
dc.subject.classificationAnàlisi de regressió
dc.subject.classificationFuncions analítiques
dc.subject.classificationOperadors integrals
dc.subject.otherEconometrics
dc.subject.otherTime-series analysis
dc.subject.otherRegression analysis
dc.subject.otherAnalytic functions
dc.subject.otherIntegral operators
dc.titleBounds, breaks and unit root tests
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/acceptedVersion

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