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

By Junsoo Lee, Mark Strazicich. 2001

71 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/79809efcf61e2824833af55c1bd4bd947decaef8

Citations in the corpus

• Testing the Null of Cointegration With Structural Breaks (2006, unknown): “As pointed out in Lee and Strazicich (2001) and Kurozumi (2002) for the univariate KPSS test with one structural break, the symmetry of the distribution around = 0:5 is given by the fact that we can interchange and (1 ) in the asymptotic distribution and obtain the same result.”
• European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) (2009, unknown): “We ran unit root tests with endogenous structural breaks in the mean of the time series used in the article (Lee and Strazicich, 2001, 2003).”
• Panel Stationarity Test with Structural Breaks (2008, unknown): “One practice is to choose the break date that gives the most favourable result for the null of stationarity with a break as in Lee and Strazicich (2001) and Busetti and Harvey (2001).”