Bounds, Breaks and Unit Root Tests
Download or Read eBook Bounds, Breaks and Unit Root Tests PDF written by Josep Lluís Carrion-I-Silvestre and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle.
Author | : Josep Lluís Carrion-I-Silvestre |
Publisher | : |
Total Pages | : 0 |
Release | : 2016 |
ISBN-10 | : OCLC:1375632502 |
ISBN-13 | : |
Rating | : 4/5 (02 Downloads) |
Book Synopsis Bounds, Breaks and Unit Root Tests by : Josep Lluís Carrion-I-Silvestre
Book excerpt: The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and position of the structural breaks. The performance of the statistics is investigated by means of Monte Carlo simulations.