Unit root tests with smooth breaks: an application to the Nelson-Plosser data set
This article reconsiders the nature of the trends (i.e. deterministic or stochastic) of the Nelson-Plosser macroeconomic time series. For this purpose, the article employs two new tests that display robustness to structural breaks of unknown forms, irrespective of the date and/or location of the breaks. These tests approximate structural changes as smooth processes via flexible Fourier transforms. In general, it appears that real variables are stationary while nominal ones have a unit root.
Year of publication: |
2010
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Authors: | Pascalau, Razvan |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 6, p. 565-570
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Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
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