On Unit-Root Tests When the Alternative Is a Trend-Break Stationary Process
Dados Bibliográficos
| ID | 19420063 |
|---|---|
| Autores | Amit Sen (0000-0002-0037-5465, Xavier University, autor correspondente) |
| Ano | 2003 |
| Volume | 21 |
| Fascículo | 1 |
| Páginas | 174-184 |
| Data de publicação | 2003-01-01 |
| Peer Reviewed | Sim |
| Open Access | Não |
| Tipo | ARTICLE |
| Periódico | Journal of Business and Economic Statistics (JOURNAL) |
| Identificadores do periódico | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Editora | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500102288618874 |
| OpenAlex | W2056539284 |
| Idioma | EN |
| Citações recebidas | 19 |
| Referências citadas | 18 |
Minimum t statistics to test for a unit-root are available when the form of break under the alternative evolves according to the crash, changing growth, and mixed models. It is shown that serious power distortions occur if the form of break is misspecified, and thus the practitioner should use the mixed model as the appropriate alternative in empirical applications. The mixed model may reveal useful information regarding the location and form of break. The maximum F statistic for the joint null of a unit-root and no breaks is shown to have greater and less erratic power compared to the minimumt statistic. Stronger evidence against the unit-root is found for the Nelson-Plosser series and U.S. Postwar quarterly real gross national product
Alternative hypothesis · Cointegration · Econometrics · Null hypothesis · Statistic · Statistical hypothesis testing · Statistics · Structural break · Test statistic · Unit root · Unit root test · Computer Science · Economic Growth and Productivity · Economic theories and models · Mathematics · Monetary Policy and Economic Impact
Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia
A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
Are shocks to tourist arrivals permanent or transitory? A comprehensive analysis on the top 20 most-visited countries
Global perspective on the permanent or transitory nature of shocks to tourist arrivals
Nelson and Plosser revisited
Fiscal constraint and education expenditure in Nigeria
Large shocks in U.S. macroeconomic time series
The impact of income on public health and education expenditure
Low fertility in Malaysia
The Feldstein–Horioka puzzle in the presence of structural breaks
Unemployment by gender and gender catching‐up
Symptoms of Complexity in a Tourism System
Old Wine in New Bottles
Asian Financial Crisis, Avian Flu and Terrorist Threats
Economic openness and green GDP
The «Argentine failure» from a comparative perspective
Regional House Prices and the Ripple Effect in Malaysia
Economic performance and public concerns about social class in twentieth-century books
Modeling Causality Between Financial Deepening and Poverty Reduction in Egypt
Further evidence on breaking trend functions in macroeconomic variables
Trends and random walks in macroeconmic time series
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Unit Root Tests in Arma Models with Data-Dependent Methods for the Selection of the Truncation Lag
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Nonstationarity and Level Shifts With an Application to Purchasing Power Parity
| Obras citantes distintas | 19 |
|---|---|
| Citações por ano | 0,95 |
| Intervalo de citações | 2006 - 2024 (19) |
| Velocidade de citação | recent |
| Altamente citado | Não |
| Tipos de citação | Neutras: 19 |