Nonstationarity and Structural Breaks in Economic Time Series: Asymptotic Theory and Monte Carlo Simulations - Rilegato

Noriega-Muro, Antonio E.

Rilegato

ISBN 10: 1856285804 ISBN 13: 9781856285803

Casa editrice: Avebury, 1993

Riassunto

This book presents an econometric analysis concerned with the problems of testing for the existence of stochastic or deterministic trends in series which possess structural breaks. It opens with a survey of many of the available tests for unit roots, providing, at the same time, an introduction to the theory of testing for unit roots against both dixed and non-fixed trend-stationary alternatives. Test regressions are derived whose structure provides a link between tests for a unit and tests on the nullity of the parameters associated with the regression's deterministic components. Asymptotic results are then obtained for all the parameters, which show interesting relationships between the deterministic components and the autoregressive parameter. A Monte Carlo experiment is performed in order to study the behaviour of the test statistics in finite samples. The book concludes with an empirical application for the UK's output.

Su questa edizione

• Editore: Avebury
• Data di pubblicazione: 1993
• ISBN 10: 1856285804
• ISBN 13: 9781856285803
• Rilegatura: Copertina rigida
• Numero di pagine: 268