Title:
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Bounds, breaks and unit root tests
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Author:
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Carrión i Silvestre, Josep Lluís; Gadea Rivas, María Dolores
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Other authors:
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Universitat de Barcelona |
Abstract:
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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(s):
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-Econometria -Anàlisi de sèries temporals -Anàlisi de regressió -Funcions analítiques -Operadors integrals -Econometrics -Time-series analysis -Regression analysis -Analytic functions -Integral operators |
Rights:
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(c) John Wiley & Sons, 2016
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Document type:
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Article Article - Accepted version |
Published by:
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John Wiley & Sons
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