Zur Kurzanzeige

2005-09-16Buch DOI: 10.18452/3335
Testing of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T20:39:27Z
dc.date.available2017-06-15T20:39:27Z
dc.date.created2005-09-16
dc.date.issued2005-09-16
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3987
dc.description.abstractTests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser’s (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989) we observe that our results might be consistent with them when testing the nulls of trendstationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in this context of structural breaks at a known period of timeeng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectunit rootseng
dc.subjectlong memoryeng
dc.subjectstructural breakseng
dc.subject.ddc330 Wirtschaft
dc.titleTesting of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10047173
dc.identifier.doihttp://dx.doi.org/10.18452/3335
local.edoc.pages16
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2000
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2000,13

Zur Kurzanzeige