In this paper we simulate a series which is segmented trend plus noise. Despite the imposed data generating process, usual tests for unit roots and estimates of persistence fail to reject the random walk hypothesis
AbstractRecent approaches to testing for a unit root when uncertainty exists over the presence and t...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
Unit root testing has been developed through numerous papers since the work of Dickey and Fuller (...
The behaviour of unit root tests defined in terms of sign transform is here analysed. The sign trans...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
In their 1982 article, C. R. Nelson and C. I. Plosser provided evidence supporting the existence of ...
It is well known that the main difference between a stationary (or trend-stationary) process and a p...
If we are given a time series of economic data, a basic question is whether the series is stationary...
In this paper we investigate the impact of persistent (nonstationary or near nonstationary) cycles o...
We bootstrap two unit root tests in the AR(1) model with intercept and linear trend. When the DGP is...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend a...
Determining whether per capita output can be characterized by a stochastic trend is complicated by t...
This paper considers the problem of testing for multiple structural changes in the persistence of a ...
AbstractRecent approaches to testing for a unit root when uncertainty exists over the presence and t...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
Unit root testing has been developed through numerous papers since the work of Dickey and Fuller (...
The behaviour of unit root tests defined in terms of sign transform is here analysed. The sign trans...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
In their 1982 article, C. R. Nelson and C. I. Plosser provided evidence supporting the existence of ...
It is well known that the main difference between a stationary (or trend-stationary) process and a p...
If we are given a time series of economic data, a basic question is whether the series is stationary...
In this paper we investigate the impact of persistent (nonstationary or near nonstationary) cycles o...
We bootstrap two unit root tests in the AR(1) model with intercept and linear trend. When the DGP is...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend a...
Determining whether per capita output can be characterized by a stochastic trend is complicated by t...
This paper considers the problem of testing for multiple structural changes in the persistence of a ...
AbstractRecent approaches to testing for a unit root when uncertainty exists over the presence and t...
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard ...
Unit root testing has been developed through numerous papers since the work of Dickey and Fuller (...
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