Unit Roots and Structural Breaks

Unit Roots and Structural Breaks
Author: Pierre Perron
Publisher: MDPI
Total Pages: 167
Release: 2018-04-13
Genre: Business & Economics
ISBN: 3038428116

This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics

Unit Roots, Cointegration, and Structural Change

Unit Roots, Cointegration, and Structural Change
Author: G. S. Maddala
Publisher: Cambridge University Press
Total Pages: 528
Release: 1998
Genre: Business & Economics
ISBN: 9780521587822

A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

Interaction Between Unit Roots and Structural Breaks

Interaction Between Unit Roots and Structural Breaks
Author: Charbel Bassil
Publisher:
Total Pages:
Release: 2013
Genre:
ISBN:

In this paper, we review the recent econometric methods related to unit root tests. The central idea is the interaction between structural breaks and unit roots. We consider the standard Dickey-Fuller test and its modifications that allow under the alternative hypothesis one or multiple structural breaks. The break dates are endogenous and the number of breaks may be unknown. We investigate the size and power of these tests. Thus we consider the problem of estimating the number of structural breaks and the problem of estimating the break dates. A second type of test is reviewed, the LM unit root tests that allow under the null and the alternative hypothesis one or two unknown breaks. We also discuss the tests of structural breaks built for a stationary variables. We distinguish two types of tests: tests for a single break and tests for multiple breaks.

Cointegration

Cointegration
Author: Bhaskara B. Rao
Publisher: Springer
Total Pages: 247
Release: 2016-07-27
Genre: Business & Economics
ISBN: 1349235296

`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.

Unit Roots and Structural Breaks

Unit Roots and Structural Breaks
Author: Pierre Perron (Ed.)
Publisher:
Total Pages: 162
Release: 2018
Genre: Economic growth, development, planning
ISBN:

This book deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proved to be of importance to devise procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements to and analyses of the existing procedures. This book provides contributions that follow up on what has been done and/or offer new perspectives on such issues and related ones.

Economic Structural Change

Economic Structural Change
Author: Peter Hackl
Publisher: Springer Science & Business Media
Total Pages: 377
Release: 2013-06-29
Genre: Business & Economics
ISBN: 3662068249

Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".

Unit root tests: Common pitfalls and best practices

Unit root tests: Common pitfalls and best practices
Author: Traoré, Fousseini
Publisher: Intl Food Policy Res Inst
Total Pages: 24
Release: 2021-12-31
Genre: Political Science
ISBN:

Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.