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Testing for the presence of a random walk in series with structural breaks

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Cited by:

  1. Tommaso Proietti & Alberto Musso, 2012. "Growth accounting for the euro area," Empirical Economics, Springer, vol. 43(1), pages 219-244, August.
  2. Muhammad Zeeshan Younas & Rashid Mehmood, 2018. "Examining the Efficiency of American Stock Exchange NASDAQ: An empirical analysis of the Market Efficiency Hypothesis," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 7(3), pages 132-137, September.
  3. Carrion-i-Silvestre, Josep Lluis, 2003. "Breaking date misspecification error for the level shift KPSS test," Economics Letters, Elsevier, vol. 81(3), pages 365-371, December.
  4. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2013. "Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics," Journal of Econometrics, Elsevier, vol. 177(2), pages 265-284.
  5. Fabio Busetti & Andrew Harvey, 2003. "Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 137-140, March.
  6. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Testing for a change in persistence in the presence of non-stationary volatility," Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November.
  7. Anton Skrobotov, 2012. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian," Working Papers 0044, Gaidar Institute for Economic Policy, revised 2012.
  8. Jushan Bai & Josep Lluís Carrion-I-Silvestre, 2009. "Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(2), pages 471-501.
  9. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1112-1129, December.
  10. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438.
  11. Emilian DOBRESCU, 2016. "Controversies over the Size of the Public Budget," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-34, December.
  12. A. M. Robert Taylor, 2005. "Fluctuation Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 207-230, April.
  13. Anton Skrobotov, 2014. "A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time," Working Papers 0102, Gaidar Institute for Economic Policy, revised 2014.
  14. Elliott, Graham & Muller, Ulrich K., 2007. "Confidence sets for the date of a single break in linear time series regressions," Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
  15. Karsten Schweikert, 2019. "Asymmetric price transmission in the US and German fuel markets: a quantile autoregression approach," Empirical Economics, Springer, vol. 56(3), pages 1071-1095, March.
  16. Josep Carrion-i-Silvestre & Andreu Sansó, 2007. "The KPSS test with two structural breaks," Spanish Economic Review, Springer;Spanish Economic Association, vol. 9(2), pages 105-127, June.
  17. Francisco Corona & Pedro Orraca, 2019. "Remittances in Mexico and their unobserved components," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(8), pages 1047-1066, November.
  18. Dimpfl, Thomas & Peter, Franziska J., 2019. "Group transfer entropy with an application to cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 543-551.
  19. Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
  20. Skrobotov Anton, 2013. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 33-61, December.
  21. Jungmittag Andre & Grupp Hariolf, 2006. "Wechselwirkungen zwischen Innovations- und Wachstumsprozessen in Deutschland 1951-1999 im Vergleich zu 1850-1913 / Dynamic Relationships Between Innovation Activities and Per Capita Income in Germany ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(2), pages 180-207, April.
  22. Josep Lluís Carrion‐i‐Silvestre & María Dolores Gadea, 2023. "Testing for multiple level shifts with an integrated or stationary noise component," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 801-819, September.
  23. Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo, 2005. "Breaking the panels: An application to the GDP per capita," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 159-175, July.
  24. Kaddour Hadri & Rolf Larsson & Yao Rao, 2012. "Testing For Stationarity With A Break In Panels Where The Time Dimension Is Finite," Bulletin of Economic Research, Wiley Blackwell, vol. 64(Supplemen), pages 123-148, December.
  25. Anton Skrobotov, 2013. "Local Structural Trend Break in Stationarity Testing," Working Papers 0074, Gaidar Institute for Economic Policy, revised 2013.
  26. Su, Chi-Wei & Tsangyao, Chang & Chang, Hsu-Ling, 2011. "Purchasing power parity for fifteen Latin American countries: Stationary test with a Fourier function," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 839-845, October.
  27. Yoichi Arai & Eiji Kurozumi, 2007. "Testing for the Null Hypothesis of Cointegration with a Structural Break," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 705-739.
  28. Jerome Geyer‐Klingeberg & Andreas W. Rathgeber, 2021. "Determinants of the WTI‐Brent price spread revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 736-757, May.
  29. Francisco Delgado & Maria Jose Presno, 2011. "Convergence of fiscal pressure in the EU: a time series approach," Applied Economics, Taylor & Francis Journals, vol. 43(28), pages 4257-4267.
  30. 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.
  31. David I. Harvey & Terence C. Mills, 2003. "A Note On Busetti–Harvey Tests For Stationarity In Series With Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 159-164, March.
  32. Joakim Westerlund & David L. Edgerton, 2007. "New Improved Tests for Cointegration with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 188-224, March.
  33. Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
  34. Busetti, Fabio & Taylor, A. M. Robert, 2003. "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Journal of Econometrics, Elsevier, vol. 117(1), pages 21-53, November.
  35. Andrew Harvey & Stephen Thiele, 2021. "Cointegration and control: Assessing the impact of events using time series data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 71-85, January.
  36. Kaddour Hadri & Yao Rao, 2008. "Panel Stationarity Test with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 245-269, April.
  37. David I. Harvey & Terence C. Mills, 2004. "Tests for Stationarity in Series with Endogenously Determined Structural Change," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 863-894, December.
  38. María Presno & Manuel Landajo, 2010. "Computation of limiting distributions in stationarity testing with a generic trend," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(2), pages 165-183, March.
  39. Manuel Landajo & María José Presno, 2010. "Stationarity testing under nonlinear models. Some asymptotic results," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 392-405, September.
  40. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
  41. Tommaso Proietti & Alberto Musso & Thomas Westermann, 2007. "Estimating potential output and the output gap for the euro area: a model-based production function approach," Empirical Economics, Springer, vol. 33(1), pages 85-113, July.
  42. Yoichi Arai & Eiji Kurozumi, 2005. "Testing for the Null Hypothesis of Cointegration with Structural Breaks (Subsequently published in "Econometric Reviews", Volume 26, Issue 6 November 2007, pages 705 - 739. )," CARF F-Series CARF-F-022, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  43. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  44. María Presno & Anna López, 2003. "Testing for stationarity in series with a shift in the mean. A fredholm approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 12(1), pages 195-213, June.
  45. Musso, Alberto & Proietti, Tommaso, 2007. "Growth accounting for the euro area: a structural approach," Working Paper Series 804, European Central Bank.
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