Selecting the lag length for the MGLS unit root tests with structural change : a warning note for practitioners based on simulations
Year of publication: |
June 2017
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Authors: | Quineche, Ricardo ; Rodriguez, Gabriel |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 5.2017, 2, p. 1-10
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Subject: | unit root tests | structural change | truncation lag | GLS detrending | information criteria | sequential general to specific t-sig method | Einheitswurzeltest | Unit root test | Simulation | Zeitreihenanalyse | Time series analysis | Lag-Modell | Lag model | Schätztheorie | Estimation theory | Strukturbruch | Structural break | Strukturwandel | Structural change |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics5020017 [DOI] hdl:10419/171919 [Handle] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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