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Tests for multiple breaks in the trend with stationary or integrated shocks
Sobreira, Nuno; Nunes, Luis C. - In: Oxford bulletin of economics and statistics 78 (2016) 3, pp. 394-411
Persistent link: https://www.econbiz.de/10011494825
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Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland : eine Anmerkung
Meier, Carsten-Patrick - 2000
This note shows that German real GDP follows a trend-stationary process. Both tests which have trend-stationarity as …
Persistent link: https://www.econbiz.de/10011495591
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On the finite sample size and power of the generallized KPSS test in the presence of level breaks
Sephton, Peter S. - In: Applied economics letters 15 (2008) 10/12, pp. 833-843
Persistent link: https://www.econbiz.de/10003785755
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Costs of misspecification in break-model unit-root tests
Maican, Florín G.; Sweeney, Richard J. - In: Applied economics 46 (2014) 1/3, pp. 111-118
Persistent link: https://www.econbiz.de/10010354074
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A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
Smallwood, Aaron D. - In: Econometric reviews 35 (2016) 5/7, pp. 986-1012
Persistent link: https://www.econbiz.de/10011590992
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Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten - 2018
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no...
Persistent link: https://www.econbiz.de/10011842010
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...
Persistent link: https://www.econbiz.de/10011476095
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Stationarity changes in long-run energy commodity prices
Zaklan, Aleksandar; Abrell, Jan; Neumann, Anne - In: Energy economics 59 (2016), pp. 96-103
Persistent link: https://www.econbiz.de/10011699492
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Testing for structural breaks in macroeconomic processes of growth
Fałdziński, Marcin - In: Economic miracles in the European economies, (pp. 125-150). 2019
Persistent link: https://www.econbiz.de/10012061196
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Demonetization and its effects on BSE SENSEX and some sectoral indices : an exploratory econometric analysis
Mukhopadhyay, Debabrata; Sarkar, Nityananda - In: International econometric review 11 (2019) 2, pp. 38-57
to 31 May 2017. Apart from examining the stationarity/ nonstationarity property and existence of structural breaks after … change in the status of stationarity/nonstationarity in the pre- and post- demonetization periods has been found in the other …
Persistent link: https://www.econbiz.de/10012112962