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Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.)
Busetti, Fabio; Harvey, Andrew C - Suntory and Toyota International Centres for Economics … - 1998
The paper considers tests for the presence of a random walk component in a stationary or trend stationary time series and extends them to series which contain structural breaks. The locally best invariant (LBI) test is derived and the asymptotic distribution obtained. Then a modified test...
Persistent link: https://www.econbiz.de/10005797516
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Testing for the presence of a random walk in series with structural breaks
Busetti, Fabio; Harvey, Andrew - London School of Economics (LSE) - 1998
The paper considers tests for the presence of a random walk component in a stationary or trend stationary time series and extends them to series which contain structural breaks. The locally best invariant (LBI) test is derived and the asymptotic distribution obtained. Then a modified test...
Persistent link: https://www.econbiz.de/10010744886