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https://hdl.handle.net/10419/26810
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Popp, Stephan | en |
dc.date.accessioned | 2008-07-08 | - |
dc.date.accessioned | 2009-08-06T09:02:08Z | - |
dc.date.available | 2009-08-06T09:02:08Z | - |
dc.date.issued | 2008 | - |
dc.identifier.isbn | 978-3-86788-046-6 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aRheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI) |cEssen | en |
dc.relation.ispartofseries | |aRuhr Economic Papers |x45 | en |
dc.subject.jel | C12 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Unit root tests | en |
dc.subject.keyword | nonlinear regression | en |
dc.subject.keyword | structural breaks | en |
dc.subject.keyword | innovational outliers | en |
dc.subject.stw | Unit Root Test | en |
dc.subject.stw | Regression | en |
dc.subject.stw | Strukturbruch | en |
dc.subject.stw | Nichtlineares Verfahren | en |
dc.subject.stw | Theorie | en |
dc.title | A Nonlinear Unit Root Test in the Presence of an Unknown Break | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 571468462 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:rwirep:45 | en |
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