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Autor:innen: 
Erscheinungsjahr: 
2000
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2000,13
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989) we observe that our results might be consistent with them when testing the nulls of trendstationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in this context of structural breaks at a known period of time.
Schlagwörter: 
unit roots
long memory
structural breaks
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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