Structural breaks with deterministic and stochastic trends

By Pierre Perron, Xiaokang Zhu. 2005

228 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2f4861bec05d2bd215cdb2ffd08a58ae34aa7a42

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In Economics and Econometrics

Citations in the corpus

SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS (2009, methodology): “Consequently, as in Perron and Zhu (2005), we shall consider only fixed alternatives in this situation in order to establish the consistency properties of our tests.”
Dealing with Structural Breaks (2005, methodology): “Results using unscaled trends with p = 1 are presented in Perron and Zhu (2005).”
TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND (2009, background): “As shown by Perron and Zhu (2005), the OLS estimator of τ0, τ̆ := argmin τ∈ T −1 T∑ t=1 ût (τ ) 2, where ût (τ ), t = 1, . . . ,T are the OLS residuals from a regression of yt on (1, t,DTt (τ ))′, does not have this property because it is only Op(T −1/2) consistent under H0 : c = 0.”
GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses (2007, unknown): “As shown by Perron and Zhu (2005), the rate of convergence increases when the level shifts are modeled to increase as the sample size grows.”
Spurious Regression and Trending Variables (2007, unknown): “In Phillips (1986), where a driftless random walk is assumed for both variables, the t-statistic is Op(T ).”
Two-Step LM Unit Root Tests with Trend-Breaks (2012, background): “13 The properties of or under the unit root null have not been fully examined in the literature, while Perron and Zhu (2005) provide a useful insight that the order of convergence is usually lower in an integrated process than in a stationary process in the specific model they consider.”
Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses (2009, methodology): “T1|Op (T). We use the same contradiction argument as in Perron and Zhu (2005) .”
Testing for Shifts in Trend With an Integrated or Stationary Noise Component (2009, methodology): “As shown by Perron and Zhu (2005), selecting the break date in this fashion leads to a consistent estimate whether the errors are I(0) or I(1).”
Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term (2017, unknown): “Exceptions are Bai, Lumsdaine and Stock (1998) who discuss both stationary and nonstationary regressors and Perron and Zhu (2005) and Kim (2011) who discuss both stationary and nonstationary error terms.”
GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES (2009, methodology): “As shown by Perron and Zhu (2005), the rate of convergence increases when the level shifts are modeled to increase as the sample size grows.”