The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
Open accessAbstract
Abstract. Macroeconomic variables have been shown to display a wide variety of structural breaks of unknown number, duration and form. This poses a challenge since improperly modelled breaks can result in a seriously misspecified model. In this paper, we develop a new test for stationarity that approximates the unknown form of structural breaks using a selected frequency component from a Fourier approximation. Our proposed test performs quite well when breaks are gradual, and shows reasonable power. The appropriate use of the test is illustrated by examining real exchange rates in the post‐Bretton Woods period.
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Cites
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
Estimating and Testing Linear Models with Multiple Structural Changes
Bai, J., & Perron, P. (1998) · Econometrica · doi:10.2307/2998540 · Cited by 6,112
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
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
Self-citationTesting for a unit root in the nonlinear STAR framework
Kapetanios, G., Shin, Y., & Snell, A. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(02)00202-6 · Cited by 1,563
Testing linearity against smooth transition autoregressive models
LUUKKONEN, R., SAIKKONEN, P., & TERÄSVIRTA, T. (1988) · Biometrika · doi:10.1093/biomet/75.3.491 · Cited by 1,363
Nonstationarity and Level Shifts With an Application to Purchasing Power Parity
Perron, P., & Vogelsang, T. J. (1992) · Journal of Business & Economic Statistics · doi:10.1080/07350015.1992.10509907 · Cited by 1,228
Long Swings in the Dollar: Are They in the Data and Do Markets Know It?
Engel, C., & Hamilton, J. D. (1990) · American Economic Review · Cited by 993
Testing for a unit root in variables with a double change in the mean
Clemente, J., Montañés, A., & Reyes, M. (1998) · Economics Letters · doi:10.1016/s0165-1765(98)00052-4 · Cited by 914
Cited by
Ilkay, S. C., Yilanci, V., Ulucak, R., & Jones, K. (2021) · Journal of Environmental Management · doi:10.1016/j.jenvman.2021.113033 · Cited by 71
Metadata
- Authors
- Becker, R., Enders, W., & Lee, J.
- Venue
- Journal of Time Series Analysis
- Publisher
- Wiley
- Published
- 2006-03-23
- Volume
- 27
- Issue
- 3
- Pages
- 381-409
- ISSN
- 0143-9782 (ISSN-L)
- 1467-9892
- OpenAlex
- W2159548882
- Cited by
- 870
- References
- 18
- FWCI
- 6.06
- Type
- journal article
- Language
- en
- Open access
- bronze
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