39
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Breaking trend, Lagrange multiplier test statistic and the presence of a unit root in the Brazilian gross domestic product

, &
Pages 361-364 | Published online: 19 Aug 2006

References

References

  • Aguirre , A and Ferreira , AHB . 2001 . The (in)existence of a unit root in Brazilian gross domestic product . Applied Economics Letters , 8 : 645 – 47 .
  • Box , G and Tiao , G . 1975 . Intervention analysis with applications to economic and environmental problems . Journal of the American Statistical Association , 70 : 70 – 9 .
  • Campbell , J and Mankiw , G . 1987 . Are output fluctuations transitory? . Quarterly Journal of Economics , 102 : 857 – 80 .
  • Christiano , LJ . 1992 . Searching for breaks in GNP . Journal of Business and Economic Statistics , 10 : 237 – 50 .
  • Cochrane , JH . 1988, 5 . How big is the random walk in GNP? . Journal of Political Economy , 96 : 893 – 920 .
  • Cribari-Neto , F . 1990 . O comportamento estocástico do produto no Brasil . Pesquisa e Planejamento Econômico , 20 : 381 – 402 .
  • Cribari-Neto , F . 1992 . Persistência de inovações e política econômica, a experiência do II PND . Revista Brasileira de Economia , 46 : 413 – 28 .
  • Dickey , DA and Fuller , W . 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
  • Fava , VL and Cati , RC . 1995 . Mudanças no comportamento do PIB brasileiro: uma abordagem econométrica . Pesquisa e Planejamento Econômico , 25 : 279 – 96 .
  • Haddad C 1977 Crescimento do produto real brasileiro: 1900–1947 in Formação econômica do Brasil (Eds) F. R. Versiani and J. R. M. Barros, Saraiva, São Paulo
  • Kwiatkowsky , D , Phillips , PCB , Schmidt , P and Shin , Y . 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 78 .
  • Lee , J and Strazicich , M . 2001 . Break point estimation and spurious rejection with endogenous unit root tests . Oxford Bulletin of Economics and Statistics , 63 : 535 – 58 .
  • Lee , J and Strazicich , M . 2003, 4 . Minimum LM unit root test with two structural breaks . Review of Economic and Statistics , 85 : 1082 – 9 .
  • Lumsdaine , R and Papell , D . 1997 . Multiple trend breaks and the unit root hypothesis . Review of Economics and Statistics , 79 : 212 – 18 .
  • Perron , P . 1989 . The great crash, the oil price, and the unit root hypothesis . Econometrica , 6 : 1361 – 401 .
  • Perron , P and Vogelsang , TJ . 1992, 3 . Nonstationarity and level shifts with an application to Purchasing Power Parity . Journal of Business and Economic Statistics , 10 : 301 – 20 .
  • Schmidt , P and Phillips , PCB . 1992 . LM tests for a unit root in the presence of deterministic trends . Oxford Bulletin of Economics and Statistics , 54 : 257 – 87 .
  • Tombini , AA and Newbold , P . 1992 . The time series behaviour of Brazilian real gross domestic product: an analysis of interventions . World Development , 20 : 1947 – 87 .
  • Zivot , E and Andrews , DWK . 1992 . Further evidence on the great crash, the oil price shock and the unit root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.