TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
By D. Harris, David I. Harvey, S. Leybourne, Alan M. Taylor, Robert J. Taylor. Econometric Theory, 2009
89 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/d2713a1537fd56838a4a9d4688957804f0c08dc6
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- David I. Harvey
- S. Leybourne
- Alan M. Taylor
- Giuseppe Cavaliere
- Pierre Perron
- Christoph Hanck
- M. Schularick
- Stephan Popp
In Finance
- David I. Harvey
- S. Leybourne
- Alan M. Taylor
- Giuseppe Cavaliere
- M. Schularick
- Hélène Rey
- Thomas Steger
- Pierre Perron
In Statistics and Probability
- David I. Harvey
- S. Leybourne
- Alan M. Taylor
- Giuseppe Cavaliere
- Stephan Popp
- Pierre Perron
- Junsoo Lee
- Christoph Hanck
Citations in the corpus
- Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics (2013, methodology): “The rst di erence regression-based method delivers break fraction estimators that are Op(T ) consistent under unit root, local-to-unity and stationary errors; see, for example, Harris et al. (2009) in the single break case.”
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION (2009, unknown): “Harris et al. (2007) consider the problem of unit root testing in the presence of a possible broken trend and show that approaches based on pre-testing (in their case for the presence of a break in trend) carry over well into that context. Further extensions to a more general class of potential tren”