The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Abstract
Recently, Perron has carried out tests of the unit-root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil-price shock. His analysis covers the Nelson–Plosser macroeconomic data series as well as a postwar quarterly real gross national product (GNP) series. His tests reject the unit-root null hypothesis for most of the series. This article takes issue with the assumption used by Perron that the Great Crash and the oil-price shock can be treated as exogenous events. A variation of Perron's test is considered in which the breakpoint is estimated rather than fixed. We argue that this test is more appropriate than Perron's because it circumvents the problem of data-mining. The asymptotic distribution of the estimated breakpoint test statistic is determined. The data series considered by Perron are reanalyzed using this test statistic. The empirical results make use of the asymptotics developed for the test statistic as well as extensive finite-sample corrections obtained by simulation. The effect on the empirical results of fat-tailed and temporally dependent innovations is investigated, in brief, by treating the breakpoint as endogenous, we find that there is less evidence against the unit-root hypothesis than Perron finds for many of the data series but stronger evidence against it for several of the series, including the Nelson-Plosser industrial-production, nominal-GNP, and real-GNP series.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
A new look at the statistical model identification
Akaike, H. (1974) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1974.1100705 · Cited by 51,879
Research works printed but not linked: 28
- Andrews D. W. K., 1989, “Tests for Parameter Instability and Structural Change With Unknown Change Point,”
- Banerjee A., 1990, “Recursive Tests for Unit Roots and Structural Breaks in Long Annual GNP Series,”
- 10.1080/07350015.1992.10509905 · DOI
- Campbell J. Y., 1987, American Economic Review: Papers and Proceedings, 77, 111
- Campbell J. Y., 1988, Quarterly Journal of Economics, 102, 875
- 10.1080/07350015.1992.10509903 · DOI · Paper page
- Christiano L. J., 1989, “Unit Roots in Real GNP: Do We Know, and Do We Care?”, 10.3386/w3130 · DOI
- Chu C.-S. J., 1989, “New Tests for Parameter Constancy in Stationary and Nonstationary Regression Models,”
- Clark P. K., 1987, Quarterly Journal of Economics, 102, 797, 10.2307/1884282 · DOI
- Cochrane J. H., 1988, Journal of Political Economy, 96, 893, 10.1086/261569 · DOI · Paper page
- Dickey D. A., 1979, Journal of the American Statistical Association, 74, 427
- Dickey D. A., 1981, Econometrica, 49, 1057, 10.2307/1912517 · DOI · Paper page
- 10.1080/07350015.1992.10509908 · DOI · Paper page
- Nelson C. R., 1982, Journal of Monetary Economics, 10, 139, 10.1016/0304-3932(82)90012-5 · DOI · Paper page
- Ouliaris S., 1989, Advances in Econometrics and Modelling
- Park J. Y., 1988, Econometric Theory, 4, 486
- Perron P., 1988, “The Hump-shaped Behavior of Macroeconomic Fluctuations,”
- Perron P., 1989, Econometrica, 57, 1361, 10.2307/1913712 · DOI · Paper page
- Perron P., 1990, “Further Evidence on Breaking Trend Functions in Macroeconomic Variables,”
- Perron P., 1991, “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis: Corrections and Extensions of Some Asymptotic Results,”
- Phillips P. C. B., 1987, Econometrica, 55, 277, 10.2307/1913237 · DOI
- Phillips P. C. B., 1988, Contemporary Mathematics, 80, 79, 10.1090/conm/080/999009 · DOI
- Ploberger W., 1989, Journal of Econometrics, 40, 307, 10.1016/0304-4076(89)90087-0 · DOI
- Rappoport P., 1990, “Testing for the Frequency of Permanent Shifts in Time Series,”
- Rappoport P., 1989, Economic Journal, 99, 168, 10.2307/2234078 · DOI
- Said S. E., 1984, Biometrika, 71, 599, 10.1093/biomet/71.3.599 · DOI · Paper page
- Schwarz G., 1978, The Annals of Statistics, 6, 461, 10.1214/aos/1176344136 · DOI · Paper page
- Shapiro M., 1988, NBER Macroeconomics Annual, 3, 111, 10.2307/3584944 · DOI
Cited by
Shahbaz, M., Khan, S., & Tahir, M. I. (2013) · Energy Economics · doi:10.1016/j.eneco.2013.06.006 · Cited by 753
Internet usage, electricity consumption and economic growth in Australia: A time series evidence
Salahuddin, M., & Alam, K. (2015) · Telematics and Informatics · doi:10.1016/j.tele.2015.04.011 · Cited by 396
Adu, G., Marbuah, G., & Mensah, J. T. (2013) · Review of Development Finance · doi:10.1016/j.rdf.2013.11.001 · Cited by 340
ICT, total factor productivity, and carbon dioxide emissions in Tunisia
Amri, F., Zaied, Y. B., & Lahouel, B. B. (2019) · Technological Forecasting and Social Change · doi:10.1016/j.techfore.2019.05.028 · Cited by 272
The role of globalization in energy consumption: A quantile cointegrating regression approach
Shahbaz, M., Lahiani, A., Abosedra, S., & Hammoudeh, S. (2018) · Energy Economics · doi:10.1016/j.eneco.2018.02.009 · Cited by 236
Metadata
- Authors
- Zivot, E., & Andrews, D. W. K.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1992-07
- Volume
- 10
- Issue
- 3
- Pages
- 251-270
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W3124662040
- Cited by
- 3,250
- References
- 1
- FWCI
- 19.94
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
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.
