Testing the null of stationarity in the presence of a structural break
- ASU Author/Contributor (non-ASU co-authors, if there are any, appear on document)
- Mark Strazicich Ph.D., Professor (Creator)
- Institution
- Appalachian State University (ASU )
- Web Site: https://library.appstate.edu/
Abstract: A test for stationarity in the presence of a structural break is proposed. An unknown
break point is endogenously determined at the value minimizing the test statistic.
The break point can be estimated reasonably well under the null hypothesis of
stationarity, especially when the magnitude of the break is large.
Testing the null of stationarity in the presence of a structural break
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Additional Information
- Publication
- Lee, J. & Strazicich, M. (2001). Testing the Null of Stationarity in the Presence of a Structural Break. Applied Economics Letters, 8(6): 377-382 (June 2001). Published by Taylor & Francis (ISSN: 1350-4851). DOI: 10.1080/135048501750237810.
- Language: English
- Date: 2001