The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Abstract
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
Integrity signals
Registry
Cites
Statistics
Claims the paper makes
Cited by
Sorted by citations
The economics of BitCoin price formation
Ciaian, P., Rajcaniova, M., & Kancs, D. (2016) · Applied Economics · doi:10.1080/00036846.2015.1109038 · Cited by 1,004 · see citing works
Shahbaz, M., Hoang, T. H. V., Mahalik, M. K., & Roubaud, D. (2017) · Energy Economics · doi:10.1016/j.eneco.2017.01.023 · Cited by 598 · see citing works
Jayachandran, S., Lleras-Muney, A., & Smith, K. V. (2010) · American Economic Journal: Applied Economics · doi:10.1257/app.2.2.118 · Cited by 230 · see citing works
Adebola Solarin, S., Al-Mulali, U., & Ozturk, I. (2017) · Renewable and Sustainable Energy Reviews · doi:10.1016/j.rser.2017.07.028 · Cited by 229 · see citing works
Ilkay, S. C., Yilanci, V., Ulucak, R., & Jones, K. (2021) · Journal of Environmental Management · doi:10.1016/j.jenvman.2021.113033 · Cited by 71 · see citing works
McPhedran, S., & Baker, J. (2012) · Archives of Suicide Research · doi:10.1080/13811118.2012.667330 · Cited by 27 · see citing works
Demand-following or supply-leading? Trade openness and financial development in China
Fan, J.-J., Xu, R., Su, C. W., & Shi, Q.-H. (2018) · The Journal of International Trade & Economic Development · doi:10.1080/09638199.2017.1390779 · Cited by 16 · see citing works
Oil Price Shocks and Inflation Dynamics in Nigeria: Sensitivity of Unit Root to Structural Breaks
Chukwudi Odionye, J. (2019) · International Journal of Business and Economics Research · doi:10.11648/j.ijber.20190802.13 · Cited by 15 · see citing works
“Failure to allow for an existing structural break in the series leads to a bias that reduces the ability to reject a false unit root null hypothesis [13-14].”
BackgroundResult
- Authors
- Perron, P.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1989-11
- Volume
- 57
- Issue
- 6
- Pages
- 1361
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2116388354
- Cited by
- 7,732
- References
- 0
- Citations by year
- 2026: 215 · 2025: 186 · 2024: 222 · 2023: 245 · 2022: 299 · 2021: 295 · 2020: 300 · 2019: 290 · 2018: 259 · 2017: 266 · 2016: 271 · 2015: 268 · 2014: 287 · 2013: 304 · 2012: 345
- FWCI
- 119.93
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Econometrica (publishedVersion)
- 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 › Market Dynamics and Volatility
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Diverse Scientific and Economic Studies
- Keywords
- unit root hypothesis, trend stationarity, structural breaks, oil price shocks, time series stationarity, drift, unit root tests
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
