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Applied Economics Letters Volume 13, 2006 - Issue 1
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Original Articles

Scale of variance, unit of data and the power of unit root tests under structural changes – a strategy for analysing Nelson–Plosser data

Meng-Shiuh Chang Department of Industrial Economics, Tamkang University, Taipei, Taiwan 25137, R.O.C.
&
Teng-Yuan Hu Department of Industrial Economics, Tamkang University, Taipei, Taiwan 25137, R.O.C.Correspondence[email protected]
Pages 51-56 | Published online: 01 Sep 2006

References

  • Amsler , C. and Lee , J. 1995 . An LM test for a unit root in the presence of a structural change . Econometric Theory , 11 : 359 – 68 .
  • Lee , J. and Strazicich , M. C. 2001 . Break point estimation and spurious rejections with endogenous unit root tests . Oxford Bulletin of Economics and Statistics , 63 : 559 – 75 .
  • Lee , J. and Strazicich , M. C. 2003 . Minimum Lagrange multiplier unit root test with two structural breaks . The Review of Economics and Statistics , 85 : 1082 – 9 .
  • Lumsdaine , R. L. and Papell , D. H. 1997 . Multiple trend breaks and the unit-root hypothesis . The Review of Economics and Statistics , 79 : 212 – 18 .
  • Nelson , C. R. and Plosser , C. R. 1982 . Trends and random walks in macro-economics time series: some evidence and implications . Journal of Monetary Economics , 10 : 139 – 62 .
  • Perron , P. 1989 . The great crash, the oil price shock and the unit root hypothesis . Econometrica , 57 : 1361 – 401 .
  • Rilstone , P. 1992 . A simple Bera-Jarque normality test for nonparametric residuals . Econometric Reviews , 11 : 355 – 65 .
  • Zivot , E. and Andrews , D. W. K. 1992 . Further evidence on the great crash, oil-price shock, and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .

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