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Applied Economics Letters Volume 8, 2001 - Issue 6
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Original Articles

Testing the null of stationarity in the presence of a structural break

Junsoo Lee
&
Mark Strazicich
Pages 377-382 | Published online: 06 Oct 2010

References

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  • Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 178 .
  • Lee , J. , List , J. and Strazicich , M. 1998 . Spurious rejections with the minimum unit root test in the presence of a structural break under the null , Department of Economics, University of Central Florida . working paper
  • Lee , J. 1996a . On the power of stationarity tests using optimal bandwidth estimates . Economics Letters , 51 : 131 – 137 .
  • Lee , J. 1996 . Minimum statistics testing for stationarity in the presence of a structural break , Department of Economics, Vanderbilt University . working paper
  • Lee , J. , Huang , C. and Shin , Y. 1997 . On stationarity tests in the presence of structural breaks . Economics Letters , 55 : 165 – 172 .
  • Nunes , L. , Kuan , C. and Newbold , P. 1995 . Spurious break . Econometric Theory , 11 : 736 – 749 .
  • Ouliaris , S. and Phillips , P. C. B. 1994 . Coint 2.0, Gauss procedures for cointegrated regressions , Predicta Software Inc .
  • Perron , Pierre . 1989 . The great crash, the oil price shock, and the unit root hypothesis . Econometrica , 57 : 1361 – 1401 .
  • Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 346 .
  • Zivot , Eric and Andrews , D. W. K. 1992 . Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 270 .

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