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Interaction entre racines unitaires et ruptures structurelles

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  • Charbel Bassil

Abstract

In this paper, we review the recent econometric methods related to unit root tests. The central idea is the interac tion between structural breaks and unit roots. We consider the standard Dickey-Fuller test and its modifications that allow under the alternative hypothesis one or multiple structural breaks. The break dates are endogenous and the number of breaks may be unknown. We investigate the size and power of these tests. Thus we consider the problem of estimating the number of structural breaks and the problem of estimating the break dates. A second type of test is reviewed, the lm unit root tests that allow under the null and the alter native hypothesis one or two unknown breaks. We also discuss the tests of structural breaks built for a stationary variables. We distinguish two types of tests : tests for a single break and tests for multiple breaks. Classification JEL : B40, B41, C01, C83.

Suggested Citation

  • Charbel Bassil, 2012. "Interaction entre racines unitaires et ruptures structurelles," Revue économique, Presses de Sciences-Po, vol. 63(1), pages 93-128.
    • Handle: RePEc:cai:recosp:reco_631_0093
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    Cited by:

    1. GRITLI, Mohamed Ilyes, 2018. "Quel avenir du dinar tunisien face à l'euro ? Prévision avec le modèle ARIMA [What future of the Tunisian dinar against the euro? Prediction with the ARIMA model]," MPRA Paper 83937, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • B40 - Schools of Economic Thought and Methodology - - Economic Methodology - - - General
    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods

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