Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks |
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Authors: | Luis A. Gil-Alana |
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Affiliation: | (1) Facultad de Ciencias Economicas, Edificio Biblioteca, Universidad de Navarra, E-31080 Pamplona, SPAIN (E-mail: alana@cauce.cti.unav.es), ES |
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Abstract: | Tests of 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 those in Perron (1989) when testing the nulls of trend-stationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in the context of structural breaks at a known period of time. Final version received: August 2000/Final version accepted: August 2001 RID="*" ID="*" The author gratefully acknowledges the financial support from the European TMR grant No. ERBFMRX-CT-98-0213. Comments of two anonymous referees are also acknowledged. |
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Keywords: | : Long memory Unit roots Structural breaks |
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