Journal of Applied Statistics · 2010 · 710 citations · 21 references
ComputingEconomicsEconometricsFinancial EconometricsTime Series AnalysisCointegration AnalysisStationarity AnalysisStructural Break AnalysisTrend AnalysisTrend DetectionAugmented Dickey-fuller TestMonte Carlo ResamplingSlope BreaksStructural Break ModelingStructural Break TestsStructural BreaksUnit Root TestingUnit Roots
In this paper, we propose a new augmented Dickey–Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The breaks whose time of occurrence is assumed to be unknown are modeled as innovational outliers and thus take effect gradually. Using Monte Carlo simulations, we show that our proposed test has correct size, stable power, and identifies the structural breaks accurately.
21
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Pierre Perrón · Econometrica · 1989 · 7.7K citations
Trends and random walks in macroeconmic time series
Charles R. Nelson, Charles R. Plosser · Journal of Monetary Economics · 1982 · 4.7K citations
Engineering, Economics, Mathematics +14