An infimum coefficient unit root test allowing for an unknown break in trend
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DOI: 10.1016/j.econlet.2012.05.023
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Cited by:
- David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2014. "Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 93-111, February.
- Skrobotov, Anton (Скроботов, Антон), 2015. "About Trend, the Shift and the Initial Value in Testing of the Hypothesis of a Unit Root [О Тренде, Сдвиге И Начальном Значении В Тестировании Гипотезы О Наличии Единичного Корня]," Published Papers mak6, Russian Presidential Academy of National Economy and Public Administration.
- Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
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More about this item
Keywords
Unit root test; Trend break; Minimum Dickey–Fuller test;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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