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Effect of a shift in the trend function on Dickey-Fuller unit root tests

Montañés, Antonio - In: Econometric theory 14 (1998) 3, pp. 355-363

Persistent link: https://www.econbiz.de/10001245313

Efecto de una ruptura estructural sobre los contrastes de Dickey-Fuller

Montañés, Antonio - In: Revista española de economía 13 (1996) 2, pp. 221-237

Persistent link: https://www.econbiz.de/10001225555

Level shifts, unit roots and misspecification of the breaking date

Montañés, Antonio - In: Economics letters 54 (1997) 1, pp. 7-13

Persistent link: https://www.econbiz.de/10001222346

Fixed-b inference for testing structural change in a time series regression

Cho, Cheol-keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26

This paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonparametric covariance matrix estimators are...

Persistent link: https://www.econbiz.de/10011653607