Recent approaches in unit root testing have taken into account the influences of initial condition, trend, and breaks in data using pre-testing and union of rejection testing strategies based on obtained information. This paper proposes an extension of the Harvey et al. (2012b) approach to...

In this paper an overview of methods for the analysis of structural VAR models is provided. The fundamental properties of SVAR models, the estimated parameters, as well as various methods of identifying shocks and principles of constructing confidence intervals for impulse responses are...

In this paper we propose a likelihood ratio test for a change in persistence of a time series. We consider the null hypothesis of a constant persistence I(1) and an alternative in which the series changes from a stationary regime to a unit root regime and vice versa. Both known and unknown break...