Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Eric Zivot () and Donald Andrews ()

Journal of Business & Economic Statistics, 1992, vol. 10, issue 3, 251-70

Abstract: Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. Here a variation of Perron's test is considered in which the break point is estimated rather than fixed. The asymptotic distribution of the "estimated break point" test statistic is determined and the data considered by Perron are reanalyzed. The authors find less evidence against the unit root hypothesis than Perron finds for many of the data series, but stronger evidence against it for several of the series.

Date: 1992
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Related works:
Journal Article: Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)
Working Paper: Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1990)
Software Item: ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test
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