This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...

We explore the relationship between financial reforms and income inequality using a panel of 29 countries over 1975-2005. We extend panel unit root tests to allow for the presence of some financial-reform covariates and further suggest an associated but novel, semi-parametric approach. Results...

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated...

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the...

Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable or it may have a more general form which can be modeled by some general...

Unit root tests are considered for time series with innovational outliers. The function representing the outliers can have a very general nonlinear form and additional deterministic mean and trend terms are allowed for. Prior to the tests the deterministic parts and other nuisance parameters of...

A number of unit root tests which accommodate a deterministic level shift at a known point in time are compared in a Monte Carlo study. The tests differ in the way they treat the deterministic term of the DGP. It turns out that Phillips-Perron type tests have very poor small sample properties...

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...

In this paper, we consider a specification testing problem in nonlinear time series models with nonstationary regressors and propose using a nonparametric kernel-based test statistic. The nullasymptotics for the proposed nonparametric test statistic have been well developed in the existing...

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without...