Add to ORKGThe proposed version of the DF-GLS test incorporates up to two breaks in the intercept. While the asymptotic properties of the DF-GLS test remain valid, the changes in the intercept have an impact on the small sample properties of the test.Unit root Structural changes GLS-detrending Power
We consider unit root testing allowing for a break in trend when partial information is available re...
New time and frequency domain tests for the presence of a unit root are developed. The tests are bas...
This paper analyses the effects of sampling frequency on detrending methods based on an underlying c...
We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1...
In this paper, performance of the KPSS tests of Kwiatkowski et al. (Journal of Economics, 54, 159-78...
One of the most well-known facts about unit root testing in time series is that the Dickey--Fuller (...
The Sollis (2009) nonlinear unit root test has been shown to possess attractive power properties, es...
A number of unit root tests which accommodate a deterministic level shift at a known point in time a...
We show that the use of generalized least squares (GLS) detrending procedures leads to important emp...
First-differencing is generally taken to imply the loss of one observation, the first, or at least t...
We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1...
This paper examines power issues for the ADF and four break models (Perron 1989, Zivot and Andrews 1...
Trend breaks appear to be prevalent in macroeconomic time series, and unit root tests therefore need...
In recent research, Elliott et al. (1996) have shown the use of local-to-unity detrending via genera...
We propose to combine recent developments in univariate and multivariate unit root testing in order ...
We consider unit root testing allowing for a break in trend when partial information is available re...
New time and frequency domain tests for the presence of a unit root are developed. The tests are bas...
This paper analyses the effects of sampling frequency on detrending methods based on an underlying c...
We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1...
In this paper, performance of the KPSS tests of Kwiatkowski et al. (Journal of Economics, 54, 159-78...
One of the most well-known facts about unit root testing in time series is that the Dickey--Fuller (...
The Sollis (2009) nonlinear unit root test has been shown to possess attractive power properties, es...
A number of unit root tests which accommodate a deterministic level shift at a known point in time a...
We show that the use of generalized least squares (GLS) detrending procedures leads to important emp...
First-differencing is generally taken to imply the loss of one observation, the first, or at least t...
We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1...
This paper examines power issues for the ADF and four break models (Perron 1989, Zivot and Andrews 1...
Trend breaks appear to be prevalent in macroeconomic time series, and unit root tests therefore need...
In recent research, Elliott et al. (1996) have shown the use of local-to-unity detrending via genera...
We propose to combine recent developments in univariate and multivariate unit root testing in order ...
We consider unit root testing allowing for a break in trend when partial information is available re...
New time and frequency domain tests for the presence of a unit root are developed. The tests are bas...
This paper analyses the effects of sampling frequency on detrending methods based on an underlying c...