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Testing for (common) stochastic trends in the presence of structural breaks

Busetti, Fabio - In: Journal of forecasting 21 (2002) 2, pp. 81-105

Persistent link: https://www.econbiz.de/10001653522

Testing for stochastic trends in series with structural breaks

Busetti, Fabio - 2000

Persistent link: https://www.econbiz.de/10013439233

Variance shifts, structural breaks, and stationarity tests

Busetti, Fabio; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 510-531

Persistent link: https://www.econbiz.de/10001807005

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

Taylor, Robert; Busetti, Fabio - 2002

Persistent link: https://www.econbiz.de/10001663131

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

Busetti, Fabio; Taylor, Robert - In: Journal of econometrics 117 (2003) 1, pp. 21-53

Persistent link: https://www.econbiz.de/10001787600

On Detecting End-of-Sample Instabilities

Busetti, Fabio - 2012

Tests of parameter instabilities are likely to have low power when change-points occur towards the end of the sample. This paper considers various modifications of existing tests and introduces new statistics designed to have high power in such circumstances. The properties of both Wald-type...

Persistent link: https://www.econbiz.de/10013098957

On detecting end-of-sample instabilities

Busetti, Fabio - 2012

Persistent link: https://www.econbiz.de/10009776682

Testing against stochastic trend and seasonality in the presence ofunattended breaks and unit roots

Busetti, Fabio - 2003

Persistent link: https://www.econbiz.de/10013439314