Unit root tests with smooth breaks: an application to the Nelson-Plosser data set
Razvan Pascalau ()
Applied Economics Letters, 2010, vol. 17, issue 6, 565-570
This article reconsiders the nature of the trends (i.e. deterministic or stochastic) of the Nelson-Plosser macroeconomic time series. For this purpose, the article employs two new tests that display robustness to structural breaks of unknown forms, irrespective of the date and/or location of the breaks. These tests approximate structural changes as smooth processes via flexible Fourier transforms. In general, it appears that real variables are stationary while nominal ones have a unit root.
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Working Paper: Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set (2008)
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