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)
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.

Additional Information

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

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