Testing for stationarity with a break

By Eiji Kurozumi. 2002

166 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9f8ef05960fa14d1e1fcae5f2c3f9beb2bffcd9c

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Citations in the corpus

Shadow economy and unemployment rate in USA: is there a structural relationship? An empirical analysis (2008, methodology): “13 As the ADF and KPSS tests are adversely sensitive to the presence of breaks in the data, by showing critical values it is possible to check these values with Kurozumi’s (2002, table 3, p. 86) critical values. Kurozumi’s (2002) modified KPSS test allows to use consider the distortion in the statis”
Testing for the Null Hypothesis of Cointegration with a Structural Break (2007, methodology): “In the framework of testing for stationarity with a structural break, the first method is suggested by Kurozumi (2002) while the second is proposed by Busetti & Harvey (2001).”
The shifting drivers of global liquidity (2020, unknown): “Using the tools developed in Bai (1994, 1997), Kurozumi (2002) and Carrion-i-Silvestre and Sansó (2006), for each quarter 𝑇 starting in 2007:Q1, we estimate the following equation: 𝐺𝑟𝑅𝑎𝑡𝑒 𝑌𝑡 𝑗 = 𝛽 ′𝑋𝑡 𝑗 + 𝜇𝑗 + 𝐼(𝑡 ≥ 𝑇)(𝜅 + 𝛾 ′𝑋𝑡 𝑗 ) + 𝜀𝑡 𝑗 (2) where 𝑋𝑡 𝑗 = (Δ𝐹𝐹𝑅𝑡 ,…”
Panel Stationarity Test with Structural Breaks (2008, unknown): “See Kurozumi (2002) for the proof.”
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. Second, notice that t”
Breaking the panels: An application to the GDP per capita (2005, unknown): “This suggestion is addressed in Shin and Snell (2000) for the KPSS panel data-based stationarity test; they show that the joint asymptotic distribution of the test proposed by Hadri (2000) equals the sequential limiting distribution if the additional condition of N=T ! 0 is imposed.”
On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach (2010, unknown): “while the more recent Kurozumi (2002) stationarity test with a structural break is based on the KPSS test.”
Confidence Sets for the Date of a Single Break in Linear Time Series Regressions (2004, background): “Busetti and Harvey (2001) and Kurozumi (2002) suggest a specialized version of UT (τ) for constant and trending {Xt} as a test statistic for the null of stationarity under a maintained break at date τ , although they do not derive optimality properties.”
A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006, background): “Busetti and Harvey (2001), Kurozumi (2002), Presno and Lopez (2003), Harvey and Mills (2003), and Busetti and Taylor (2003) modify the standard Kwaitowski, Phillips, Schmidt and Shin (KPSS) (1992) test by including dummy variables to capture changes in the level and trend.”