The DOI matches its Crossref record; 14 of the 14 references it cites were found in a registry or an index.
A new unit root test with two structural breaks in level and slope at unknown time
Open accessAbstract
In this paper, we propose a new augmented Dickey–Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The breaks whose time of occurrence is assumed to be unknown are modeled as innovational outliers and thus take effect gradually. Using Monte Carlo simulations, we show that our proposed test has correct size, stable power, and identifies the structural breaks accurately.
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Cites
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Zivot, E., & Andrews, D. W. K. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102753410372 · Cited by 5,737
Trends and random walks in macroeconmic time series
Nelson, C. R., & Plosser, C. R. (1982) · Journal of Monetary Economics · doi:10.1016/0304-3932(82)90012-5 · Cited by 4,665
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Zivot, E., & Andrews, D. W. K. (1992) · Journal of Business & Economic Statistics · doi:10.1080/07350015.1992.10509904 · Cited by 3,250
Trends and random walks in macroeconomic time series
Perron, P. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90043-7 · Cited by 2,433
Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
Lee, J., & Strazicich, M. C. (2003) · Review of Economics and Statistics · doi:10.1162/003465303772815961 · Cited by 2,388
Further evidence on breaking trend functions in macroeconomic variables
Perron, P. (1997) · Journal of Econometrics · doi:10.1016/s0304-4076(97)00049-3 · Cited by 2,035
Multiple Trend Breaks and the Unit-Root Hypothesis
Lumsdaine, R. L., & Papell, D. H. (1997) · Review of Economics and Statistics · doi:10.1162/003465397556791 · Cited by 1,502
Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection
Hall, A. R. (1994) · Journal of Business and Economic Statistics · doi:10.1080/07350015.1994.10524568 · Cited by 699
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
Vogelsang, T. J., & Perron, P. (1998) · International Economic Review · doi:10.2307/2527353 · Cited by 654
Cited by
Shahbaz, M., Khan, S., & Tahir, M. I. (2013) · Energy Economics · doi:10.1016/j.eneco.2013.06.006 · Cited by 753
Ahmed, Z., Zhang, B., & Cary, M. (2021) · Ecological Indicators · doi:10.1016/j.ecolind.2020.107060 · Cited by 513
DETERMINANTS OF INDONESIA’S INCOME VELOCITY OF MONEY
Sharma, S. S., & Syarifuddin, F. (2019) · Buletin Ekonomi Moneter dan Perbankan · doi:10.21098/bemp.v21i3.1006 · Cited by 17
Metadata
- Authors
- Narayan, P. K., & Popp, S.
- Venue
- Journal of Applied Statistics
- Publisher
- Informa UK Limited
- Published
- 2010-09
- Volume
- 37
- Issue
- 9
- Pages
- 1425-1438
- ISSN
- 0266-4763 (ISSN-L)
- 1360-0532
- OpenAlex
- W1985753678
- Cited by
- 721
- References
- 14
- FWCI
- 40.19
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
