The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Bibliographic Data
| ID | 23329693 |
|---|---|
| Authors | Pierre Perron (0000-0001-6249-3574, corresponding author) |
| Year | 1989 |
| Volume | 57 |
| Issue | 6 |
| Pages | 1361 |
| Publication date | 1989-11-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Econometrica (JOURNAL) |
| Journal identifiers | ISSN: 0012-9682 • E-ISSN: 1468-0262 |
| Publisher | JSTOR (PUBLISHER) |
| DOI | 10.2307/1913712 |
| OpenAlex | W2116388354 |
| Language | EN |
| Citations received | 480 |
| References cited | 9 |
We consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is «trend-stationary». The interest is that we allow under both the null and alternative hypotheses for the presence for a one-time change in the level or in the slope of the trend function. We show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break
Crash · Econometrics · Economics · Monetary economics · Oil price · Root (linguistics) · Shock (circulatory) · Unit root · Atmospheric and Environmental Gas Dynamics · Complex Systems and Time Series Analysis · Computer Science · Environmental Science · Market Dynamics and Volatility · Medicine · Philosophy
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| Unique citing works | 480 |
|---|---|
| Citations per year | 12,97 |
| Citation span | 1989 - 2026 (38) |
| Citation velocity | current |
| Highly cited | Yes |
| Citation types | Neutral: 415 |