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Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypotheses Reconsidered

Nunes, Luis C.; Newbold, Paul; Kuan, Chung-Ming - In: Oxford bulletin of economics and statistics 59 (1997) 4, pp. 435-448

Persistent link: https://www.econbiz.de/10006471480

Spurious number of breaks

Nunes, Luis C.; Newbold, Paul; Kuan, Chung-Ming - In: Economics Letters 50 (1996) 2, pp. 175-178

Persistent link: https://www.econbiz.de/10005270004

Spurious Break

Nunes, Luis C.; Kuan, Chung-Ming; Newbold, Paul - In: Econometric theory 11 (1995) 4, pp. 736-749

Persistent link: https://www.econbiz.de/10007005284

Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered.

Nunes, Luis C; Newbold, Paul; Kuan, Chung-Ming - In: Oxford Bulletin of Economics and Statistics 59 (1997) 4, pp. 435-48

C. R. Nelson and C. I. Plosser (1982), in a classic paper, failed to find strong evidence against the null hypothesis of a generating process with a unit autoregressive root for thirteen U.S. macroeconomic time series. P. Perron (1989) claimed that such evidence was available for a majority of...

Persistent link: https://www.econbiz.de/10005276808