Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation

Unit Roots and Structural Breaks

This special issue deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proven to be of importance for devising procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements and analyses of the properties of existi...

Testing for unit roots in time series with level shifts

Tests for unit roots in univariate time series with level shifts are proposed and investigated The level shift is assumed to occur at a known time It may be a simple one time shift which can be captured by a dummy variable or it may have a more general form which can be modeled by some general nonlinear transition function There may also be more than one shift point and there may be other deter...

Testing for unit roots in autoregressions with multiple level shifts ∗

The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion and a Poisson-type jump process. Due to the latter, tests based on standard critical values experienc...

Inference on Unit Roots and Trend Breaks in Macroeconomic Time Series

Unit Roots, Structural Breaks and Trends

Contents Abstract 1. Introduction 2. Models and preliminary asymptotic theory 2.1. Basic concepts and notation 2.2. The functional central limit theorem and related tools 2.3. Examples and preliminary results 2.4. Generalizations and additional references