GLS-detrending and regime-wise stationarity testing in small samples

Claude Lopez

Economics Letters, 2009, vol. 104, issue 2, 99-101

Abstract: The proposed version of the DF-GLS test incorporates up to two breaks in the intercept. While the asymptotic properties of the DF-GLS test remain valid, the changes in the intercept have an impact on the small sample properties of the test.

Keywords: Unit; root; Structural; changes; GLS-detrending; Power (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: GLS-detrending and Regime-wise Stationarity Testing in Small Samples (2008)
Working Paper: Euro-zone Inflation Rates: Stationary or Regime-wise Stationary Processes (2008)
Working Paper: Improved Unit Root Tests with Changes in the Intercept (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:104:y:2009:i:2:p:99-101

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