Testing the null of stationarity in the presence of a structural break

被引：33

作者：

Lee, JS ^{[1
]}

Strazicich, M

机构：

[1] Univ Cent Florida, Dept Econ, Orlando, FL 32816 USA

[2] Univ N Texas, Dept Econ, Denton, TX 76203 USA

来源：

APPLIED ECONOMICS LETTERS | 2001年 / 8卷 / 06期

关键词：

D O I：

10.1080/135048501750237810

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A test for stationarity in the presence of a structural break is proposed. An unknown break point is endogenously determined at the value minimizing the test statistic. The break point can be estimated reasonably well under the null hypothesis of stationarity, especially when the magnitude of the break is large.

引用

收藏

页码：377 / 382

页数：6

相关论文

共 12 条

[1] AN IMPROVED HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATOR [J].

ANDREWS, DWK ;

MONAHAN, JC .

ECONOMETRICA, 1992, 60 (04) :953-966

[2] HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].

ANDREWS, DWK .

ECONOMETRICA, 1991, 59 (03) :817-858

[3] TESTING THE NULL HYPOTHESIS OF STATIONARITY AGAINST THE ALTERNATIVE OF A UNIT-ROOT - HOW SURE ARE WE THAT ECONOMIC TIME-SERIES HAVE A UNIT-ROOT [J].

KWIATKOWSKI, D ;

PHILLIPS, PCB ;

SCHMIDT, P ;

SHIN, YC .

JOURNAL OF ECONOMETRICS, 1992, 54 (1-3) :159-178

[4] On the power of stationarity tests using optimal bandwidth estimates [J].

Lee, J .

ECONOMICS LETTERS, 1996, 51 (02) :131-137

[5] On stationary tests in the presence of structural breaks [J].

Lee, J ;

Huang, CJ ;

Shin, Y .

ECONOMICS LETTERS, 1997, 55 (02) :165-172

[6]

LEE J, 1998, SPURIOUS REJECTIONS

[7]

LEE J, 1996, MINIMUM STAT TESTING

[8] SPURIOUS BREAK [J].

NUNES, LC ;

KUAN, CM ;

NEWBOLD, P .

ECONOMETRIC THEORY, 1995, 11 (04) :736-749

[9]

OULIARIS S, 1994, COINT 2 0 GAUSS PROC

[10] THE GREAT CRASH, THE OIL PRICE SHOCK, AND THE UNIT-ROOT HYPOTHESIS [J].

PERRON, P .

ECONOMETRICA, 1989, 57 (06) :1361-1401