Titlebook: Unit Root Tests in Time Series Volume 2; Extensions and Devel Kerry Patterson Book 2012 Kerry Patterson 2012 integration.Parameter.regressi

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Structural Breaks with Unknown Break Dates,der economic time series, particularly macroeconomic time series, as either generated by a process with a unit root (or roots) or generated by a process that was stationary about a (simple) linear trend. The idea of regime change that could affect either or both of these processes led to a fundament

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Conditional Heteroscedasticity and Unit Root Tests,ent of AR models to allow for random rather than fixed coefficients, where the particular focus is on a stochastic unit root (StUR) in contrast to the deterministic unit root of the conventional approach. A number of economic models can be viewed as generating a StUR; for example, a model of efficie

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Functional Form and Nonparametric Tests for a Unit Root, or reciprocal of the variable. Regression-based tests are sensitive to this distinction, for example modelling in levels when the random walk is in the logarithms, implying an exponential random walk, will affect the size and power of the test.

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Threshold Autoregressions,equent in application, giving rise to the acronyms ESTAR and LSTAR. Another newer class of models, also considered in the previous chapter, motivated by similar considerations, was the bounded random walk, BRW.

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Structural Breaks with Unknown Break Dates,ss that was stationary about a (simple) linear trend. The idea of regime change that could affect either or both of these processes led to a fundamental re-evaluation of the simplicity of these opposing mechanisms, and an increase in the complexity of choosing between them.