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Cited by 225Monetary Policy and Economic ImpactEconomic Growth and ProductivityStatistical and numerical algorithms

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Structural breaks with deterministic and stochastic trends

Perron, Pierre, Zhu, Xiaokang·2005·Journal of Econometrics
DOI 10.1016/j.jeconom.2004.09.004
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Research works printed but not linked: 30

  1. Andrews, 1991, Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 59, 817, 10.2307/2938229 · DOI
  2. Andrews, 1993, Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821, 10.2307/2951764 · DOI · Paper page
  3. Andrews, 1994, Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, 62, 1383, 10.2307/2951753 · DOI
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  5. Bai, 1997, Estimation of a change point in multiple regression models, The Review of Economics and Statistics, 79, 551, 10.1162/003465397557132 · DOI
  6. Bai, 1998, Testing for and dating breaks in integrated and cointegrated time series, Review of Economic Studies, 65, 395, 10.1111/1467-937X.00051 · DOI
  7. Bai, 1998, Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47, 10.2307/2998540 · DOI · Paper page
  8. Bai, 2003, Computation and estimation of multiple structural change models, Journal of Applied Econometrics, 18, 1, 10.1002/jae.659 · DOI · Paper page
  9. Bhattacharya, P.K., 1994. Some aspects of change-point analysis. In: Carlstein, E., Müller, H.-G., Siegmund, D. (Eds.), Change Point Problems, Institute of Mathematical Statistics Lecture Notes—Monograph Series, vol. 23, Hayward, CA, pp. 28–56. · DOI
  10. Chu, 1992, A direct test for changing trend, Journal of Business and Economic Statistics, 10, 189, 10.2307/1391543 · DOI
  11. Feder, 1975, On asymptotic distribution theory in segmented regression problem, Annals of Statistics, 3, 49, 10.1214/aos/1176342999 · DOI
  12. Feinstein, C.H., 1972. National income expenditure and output of the United Kingdom. In: Richard Stone (Series Ed.), Studies in the National Income and Expenditure of the United Kingdom, vol. 6. Cambridge University Press, London.
  13. Hansen, 1992, Test for instability with I(1) processes, Journal of Business and Economic Statistics, 10, 321, 10.2307/1391545 · DOI
  14. Hansen, 2003, Structural changes in the cointegrated vector autoregressive model, Journal of Econometrics, 114, 261, 10.1016/S0304-4076(03)00085-X · DOI
  15. Hansen, 1999, Some tests for parameter constancy in cointegrated VAR-models, Econometrics Journal, 2, 306, 10.1111/1368-423X.00035 · DOI
  16. Inoue, 1999, Test for cointegrating rank with a trend-break, Journal of Econometrics, 90, 215, 10.1016/S0304-4076(98)00042-6 · DOI
  17. Kormendi, 1990, A multicountry characterization of the nonstationarity of aggregate output, Journal of Money, Credit and Banking, 22, 77, 10.2307/1992129 · DOI
  18. Krishnaiah, 1988, Review about estimation of change points, vol. 7
  19. Lumsdaine, 1997, Multiple trend breaks and the unit root hypothesis, Review of Economics and Statistics, 79, 223, 10.1162/003465397556791 · DOI
  20. Nyblom, 1989, Testing for the constancy of parameters over time, Journal of the American Statistical Association, 84, 223, 10.2307/2289867 · DOI
  21. Perron, 1989, The great crash, the oil price shock and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712 · DOI · Paper page
  22. Perron, P., 1992. Trend, unit root and structural change: a multi-country study with historical data. Proceedings of the Business and Economic Statistics Section, American Statistical Association, pp. 144–149.
  23. Perron, 1997, Further evidence on breaking trend functions in macroeconomic variables, Journal of Econometrics, 80, 355, 10.1016/S0304-4076(97)00049-3 · DOI · Paper page
  24. Phillips, 1988, Testing for a unit root in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335 · DOI
  25. Phillips, 1992, Asymptotics for linear processes, Annals of Statistics, 20, 971, 10.1214/aos/1176348666 · DOI
  26. Romer, 1989, The prewar business cycle reconsidered, Journal of Political Economy, 97, 1, 10.1086/261592 · DOI
  27. Seo, 1998, Tests for structural change in cointegrated systems, Econometric Theory, 14, 222, 10.1017/S0266466698142044 · DOI
  28. Vogelsang, 1997, Wald-type tests for detecting shifts in the trend function of a dynamic time series, Econometric Theory, 13, 818, 10.1017/S0266466600006289 · DOI
  29. Vogelsang, 1998, Additional tests for a unit root allowing for a break in the trend function at an unknown time, International Economic Review, 39, 1073, 10.2307/2527353 · DOI
  30. Zivot, 1992, Further evidence on the great crash, the oil price shock and the unit-root hypothesis, Journal of Business and Economic Statistics, 10, 251, 10.2307/1391541 · DOI

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Metadata

Authors
Perron, P., & Zhu, X.
Venue
Journal of Econometrics
Publisher
Elsevier BV
Published
2005-11
Volume
129
Issue
1-2
Pages
65-119
ISSN
0304-4076 (ISSN-L)
DOI
10.1016/j.jeconom.2004.09.004
OpenAlex
W2080491336
Cited by
225
References
0
Citations by year
2026: 1 · 2025: 5 · 2024: 5 · 2023: 7 · 2022: 7 · 2021: 9 · 2020: 8 · 2019: 12 · 2018: 14 · 2017: 12 · 2016: 11 · 2015: 8 · 2014: 12 · 2013: 11 · 2012: 15
FWCI
15.47
Type
journal article
Language
en
Open access
closed
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)
Locations
  • Journal of Econometrics (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economic Growth and Productivity
  • Physical Sciences › Mathematics › Applied Mathematics › Statistical and numerical algorithms
Keywords
structural breaks, deterministic trend, stochastic trend, unit roots, level shifts, parameter consistency, convergence rate, asymptotic distribution, structural change detection

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CoChat. (2026). Citation check: Structural breaks with deterministic and stochastic trends. https://app.cochat.ai/papers/10.1016/j.jeconom.2004.09.004
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Perron, P., & Zhu, X. (2005). Structural breaks with deterministic and stochastic trends. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2004.09.004