Survey on structural breaks and unit root tests

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2020-01-01 DOI:10.22394/1993-7601-2020-58-96-141

A. Skrobotov, M. Ranepa, Saint Petersburg Russian Federation Spbu

引用次数: 0

Abstract

his review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.

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结构断裂及单位根试验综述

他的评论讨论了在存在结构断裂的时间序列中检验单位根的方法。另外，研究了不确定积分阶数下的断裂日期估计方法。该综述涵盖了大量最近开发的测试方法，这些方法对各种类型的数据不确定性具有鲁棒性，包括初始条件和时变波动性。该调查向读者介绍了现代测试方法的实际应用，并了解了这些方法的发展。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.