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Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Essen >
Ruhr Economic Papers, RWI >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/26810
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Popp, Stephan | | en_US |
| dc.date.accessioned | | 2008-07-08 | | en_US |
| dc.date.accessioned | | 2009-08-06T09:02:08Z | | - |
| dc.date.available | | 2009-08-06T09:02:08Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.isbn | | 978-3-86788-046-6 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/26810 | | - |
| dc.description.abstract | | The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in coefficient. Taking account of the nonlinearity leads to a test with properties that are exclusively assigned to Schmidt-Phillips LM-type unit root tests. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | RWI Essen | | en_US |
| dc.relation.ispartofseries | | Ruhr economic papers 45 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Unit root tests | | en_US |
| dc.subject.keyword | | nonlinear regression | | en_US |
| dc.subject.keyword | | structural breaks | | en_US |
| dc.subject.keyword | | innovational outliers | | en_US |
| dc.subject.stw | | Unit Root Test | | en_US |
| dc.subject.stw | | Regression | | en_US |
| dc.subject.stw | | Strukturbruch | | en_US |
| dc.subject.stw | | Nichtlineares Verfahren | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A nonlinear unit root test in the presence of an unknown break | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 571468462 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des RWI Ruhr Economic Papers, RWI
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