Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.Abstract:
We consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is «trend-stationary». The interest is that we allow under both the null and alternative hypotheses for the presence for a one-time change in the level or in the slope of the trend function. We show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time breakread more
Citations
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Journal ArticleDOI
Testing for a unit root in variables with a double change in the mean
TL;DR: In this article, the authors extended the Perron and Vogelsang (1992) statistics to the case of two changes in the mean and derived the new asymptotic distributions for finite samples.
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The dynamic effects of aggregate demand and supply disturbance
Olivier Blanchard,Danny Quah +1 more
TL;DR: In this paper, the authors interpret fluctuations in GNP and unemployment as due to two types of disturbances: disturbances that have a permanent effect on output and disturbances that do not, and they find that demand disturbances have a hump shaped effect on both output and unemployment; the effect peaks after a year and vanishes after two to five years.
Journal ArticleDOI
Unit Roots, Cointegration, and Structural Change
TL;DR: In this paper, unit roots, cointegration, and structural change are discussed. But the authors focus on unit roots and not on the structural change of the unit root.
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Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence
TL;DR: In this paper, asymptotic distributions for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions are developed for real postwar output from seven DECO countries.
Journal ArticleDOI
The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity
TL;DR: This article reviewed three major innovations in the econometrics of structural change in the past fifteen years: (1) tests for a structural break of unknown timing; (2) estimation of the timing of the structural break; and (3) tests to distinguish unit roots from broken time trends.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
Journal ArticleDOI
Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
Book
Convergence of Probability Measures
TL;DR: Weak Convergence in Metric Spaces as discussed by the authors is one of the most common modes of convergence in metric spaces, and it can be seen as a form of weak convergence in metric space.
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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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