Skip to main content

A unified approach to detecting unit root and structural break

Buy Article:

$47.00 plus tax (Refund Policy)

In the proposed approach, eight alternative data-generating processes (DGPs) are considered by combining a process with or without a unit root, a process with or without a trend break and a process with or without an innovation-variance break. It is determined on the basis of the selected model using the Bayesian information criterion which DGP generates the observed time series. The efficacy of the proposed approach is verified using comprehensive simulations, including comparisons with two conventional hypothesis-testing methods. The results of applying the proposed method to output time series for 20 developed countries suggest that 12 series have a trend break and 16 series have an innovation-variance break.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Data/Media
No Metrics

Document Type: Research Article

Affiliations: College of Economics, Nihon University 1-3-2 Misakicho, Tokyo 101-8360, Japan

Publication date: 2007-02-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more