Title
Testing the null of stationarity in the presence of a structural break
Abbreviated Journal Title
Appl. Econ. Lett.
Keywords
UNIT-ROOT; TIME-SERIES; HETEROSKEDASTICITY; HYPOTHESIS; Economics
Abstract
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.
Journal Title
Applied Economics Letters
Volume
8
Issue/Number
6
Publication Date
1-1-2001
Document Type
Article
Language
English
First Page
377
Last Page
382
WOS Identifier
ISSN
1350-4851
Recommended Citation
"Testing the null of stationarity in the presence of a structural break" (2001). Faculty Bibliography 2000s. 8085.
https://stars.library.ucf.edu/facultybib2000/8085
COinS
Comments
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