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Testing for Shifts in Trend with an Integrated or Stationary Noise Component · Study

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PreprintTesting for Shifts in Trend with an Integrated or Stationary Noise Component

Pierre Perron Z2018

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Preprintgreen2018

Testing for Shifts in Trend with an Integrated or Stationary Noise Component

Pierre Perron Z · Tomoyoshi Yabu

16 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Statistical and numerical algorithms Diverse Scientific and Economic Studies

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References

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1982Trends and random walks in macroeconmic time series 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1997Multiple Trend Breaks and the Unit-Root Hypothesis 2005Dealing with Structural Breaks 1998Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time

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2009Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluationarticle · 13 shared references 2009Testing for Shifts in Trend With an Integrated or Stationary Noise Componentarticle · 11 shared references 2011Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluationpreprint · 11 shared references 2009TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TRENDarticle · 8 shared references 2012Two-Step LM Unit Root Tests with Trend-Breaksarticle · 8 shared references 2011Unit root testing under a local break in trendarticle · 8 shared references

Details

Year2018

Typepreprint

Published2018-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.3232813

openalex_workW3124289770

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