Testing for Shifts in Trend With an Integrated or Stationary Noise Component

By Pierre Perron, Tomoyoshi Yabu. 2009

303 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/444718e28acf2be38a6a4ae161359f992e540b59

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Citations in the corpus

Estimating deterministic trends with an integrated or stationary noise component (2009, methodology): “applied to obtain useful procedures for that case as well, see Perron and Yabu (2007) .”
GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES (2009, methodology): “The application of the test of Perron and Yabu (2009) for two breaks is not appropriate because it would indicate a rejection when a single break is present; i.e., it does not allow us to estimate the number of breaks.”
GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses (2007, unknown): “Since the procedure of Perron and Yabu (2006) has better size and power, we shall use it as the pre-test.”
Stochastic convergence in per capita CO2 emissions. An approach from nonlinear stationarity analysis (2015, methodology): “Perron and Yabu (2009), Kejriwal and Perron (2010) Perron and Yabu (2009) propose an approach to test for stability of the trend function, assuming the following data generating process:”
Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses (2009, methodology): “Exp-WFS test of Perron and Yabu (2005) with a nominal size 5%. The statistics with a pretest are denoted by tpα(ˆ λ”
Detecting Location Shifts during Model Selection by Step-Indicator Saturation (2015, unknown): “There are many extant tests for multiple breaks, such as those proposed by [18–20].”
TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND (2009, methodology): “In contrast, Carrion-i-Silvestre et al. (2009) adopt the trend break test of Perron and Yabu (2009).”