This book presents an econometric analysis concerned with the problems of testing for the existence of stochastic or deterministic trends in series which possess structural breaks. It opens with a survey of many of the available tests for unit roots, providing, at the same time, an introduction to the theory of testing for unit roots against both dixed and non-fixed trend-stationary alternatives. Test regressions are derived whose structure provides a link between tests for a unit and tests on the nullity of the parameters associated with the regression's deterministic components. Asymptotic results are then obtained for all the parameters, which show interesting relationships between the deterministic components and the autoregressive parameter. A Monte Carlo experiment is performed in order to study the behaviour of the test statistics in finite samples. The book concludes with an empirical application for the UK's output.
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ISBN-13
978-1-85628-580-3 (9781856285803)
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Schweitzer Klassifikation
Testing for unit roots: principles and procedures. Part one: Tests for unit roots against fixed trend-stationary alternatives. Part two: Tests for unit roots against non-fixed trend-staionary alternatives. 2. Specification and analysis of test regressions for unit root tests against breaking trend-stationary. 3. Asymptotic and finite sample behaviour of statistics from unit root test regressions when the alternative is a breaking trend-stationary model. 4. An empirical application.
