Unit root tests with smooth breaks: an application to the Nelson–Plosser data set

Razvan C. Pascalau

75 citations0/0 files storedApplied Economics Letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Unemployment and Economic Growth Diverse Scientific and Economic Studies

Abstract

This article reconsiders the nature of the trends (i.e. deterministic or stochastic) of the Nelson-Plosser macroeconomic time series. For this purpose, the article employs two new tests that display robustness to structural breaks of unknown forms, irrespective of the date and/or location of the breaks. These tests approximate structural changes as smooth processes via flexible Fourier transforms. In general, it appears that real variables are stationary while nominal ones have a unit root.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 75 citations exist upstream.

References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 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 1988Trends and random walks in macroeconomic time series

Cited by

2014Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions 2013Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function 2012The behavior of real exchange rate: Nonlinearity and breaks 2013Are GDP fluctuations transitory or permanent in African countries? Sequential Panel Selection Method

Explore the map →

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

Imported from OpenAlex (CC0) — nothing here is generated.