Testing for a unit root in variables with a double change in the mean

被引：513

作者：

Clemente, J ^{[1
]}

Montanes, A ^{[1
]}

Reyes, M ^{[1
]}

机构：

[1] Fac Ciencias Econ & Empresariales, Dept Econ Anal, Zaragoza 50005, Spain

来源：

ECONOMICS LETTERS | 1998年 / 59卷 / 02期

关键词：

unit root tests; structural break; Wiener Process; real interest rate;

D O I：

10.1016/S0165-1765(98)00052-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper extends the Perron and Vogelsang (1992) statistics to the case of two changes in the mean. After deriving the new asymptotic distributions, we tabulate them for finite samples and illustrate their performance by analysing the long-term UK and the US real interest rate. (C) 1998 Elsevier Science S.A.

引用

页码：175 / 182

页数：8

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