search query: @indexterm structural change / total: 382
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Author: | Perron, P. |
Title: | Further evidence on breaking trend functions in macroeconomic variables. |
Journal: | Journal of Econometrics
1997 : OCT, VOL. 80:2, p. 355-385 |
Index terms: | MACROECONOMIC MODELS UNIT ROOTS STOCHASTIC PROCESSES STRUCTURAL CHANGE |
Language: | eng |
Abstract: | The author reviews the statistics involved, discusses their asymptotic distribution under the null hypothesis of a unit root, their finite sample distribution under the null hypothesis of a unit root, their finite sample distribution using simulation methods. The paper contains power under various data-generating processes, and presents empirical results, analyzes an international data set of post- contains the derivation of the limiting distributions. The author derives the limiting distribution of the sequential test without trimming. |
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