Title

Testing The Null Of Stationarity In The Presence Of A Structural Break

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.

Publication Date

1-1-2001

Publication Title

Applied Economics Letters

Volume

8

Issue

6

Number of Pages

377-382

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1080/135048501750237810

Socpus ID

0012798211 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/0012798211

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