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

Abstract: 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.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (46)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:17:y:2010:i:6:p:565-570

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850802112245

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().