Department of Economics and Business Economics

Timo Teräsvirta

Unit roots, nonlinearities and structural breaks

Research output: Working paperResearch

Standard

Unit roots, nonlinearities and structural breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

Research output: Working paperResearch

Harvard

Haldrup, N, Kruse, R, Teräsvirta, T & Varneskov, RT 2012 'Unit roots, nonlinearities and structural breaks' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Haldrup, N., Kruse, R., Teräsvirta, T., & Varneskov, R. T. (2012). Unit roots, nonlinearities and structural breaks. Aarhus: Institut for Økonomi, Aarhus Universitet.

CBE

Haldrup N, Kruse R, Teräsvirta T, Varneskov RT. 2012. Unit roots, nonlinearities and structural breaks. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Haldrup, Niels et al. Unit roots, nonlinearities and structural breaks. Aarhus: Institut for Økonomi, Aarhus Universitet. 2012., 34 p.

Vancouver

Haldrup N, Kruse R, Teräsvirta T, Varneskov RT. Unit roots, nonlinearities and structural breaks. Aarhus: Institut for Økonomi, Aarhus Universitet. 2012 Apr 24.

Author

Haldrup, Niels ; Kruse, Robinson ; Teräsvirta, Timo ; Varneskov, Rasmus T./ Unit roots, nonlinearities and structural breaks. Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

Bibtex

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title = "Unit roots, nonlinearities and structural breaks",
abstract = "One of the most influential research fields in econometrics over the past decades concerns unit root testing in economic time series. In macro-economics much of the interest in the area originate from the fact that when unit roots are present, then shocks to the time series processes have a persistent effect with resulting policy implications. From a statistical perspective on the other hand, the presence of unit roots has dramatic implications for econometric model building, estimation, and inference in order to avoid the so-called spurious regression problem. The present paper provides a selective review of contributions to the field of unit root testing over the past three decades. We discuss the nature of stochastic and deterministic trend processes, including break processes, that are likely to affect unit root inference. A range of the most popular unit root tests are presented and their modifications to situations with breaks are discussed. We also review some results on unit root testing within the framework of non-linear processes.",
keywords = "Unit roots, nonlinearity, structural breaks",
author = "Niels Haldrup and Robinson Kruse and Timo Ter{\"a}svirta and Varneskov, {Rasmus T.}",
year = "2012",
month = "4",
day = "24",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Unit roots, nonlinearities and structural breaks

AU - Haldrup,Niels

AU - Kruse,Robinson

AU - Teräsvirta,Timo

AU - Varneskov,Rasmus T.

PY - 2012/4/24

Y1 - 2012/4/24

N2 - One of the most influential research fields in econometrics over the past decades concerns unit root testing in economic time series. In macro-economics much of the interest in the area originate from the fact that when unit roots are present, then shocks to the time series processes have a persistent effect with resulting policy implications. From a statistical perspective on the other hand, the presence of unit roots has dramatic implications for econometric model building, estimation, and inference in order to avoid the so-called spurious regression problem. The present paper provides a selective review of contributions to the field of unit root testing over the past three decades. We discuss the nature of stochastic and deterministic trend processes, including break processes, that are likely to affect unit root inference. A range of the most popular unit root tests are presented and their modifications to situations with breaks are discussed. We also review some results on unit root testing within the framework of non-linear processes.

AB - One of the most influential research fields in econometrics over the past decades concerns unit root testing in economic time series. In macro-economics much of the interest in the area originate from the fact that when unit roots are present, then shocks to the time series processes have a persistent effect with resulting policy implications. From a statistical perspective on the other hand, the presence of unit roots has dramatic implications for econometric model building, estimation, and inference in order to avoid the so-called spurious regression problem. The present paper provides a selective review of contributions to the field of unit root testing over the past three decades. We discuss the nature of stochastic and deterministic trend processes, including break processes, that are likely to affect unit root inference. A range of the most popular unit root tests are presented and their modifications to situations with breaks are discussed. We also review some results on unit root testing within the framework of non-linear processes.

KW - Unit roots, nonlinearity, structural breaks

M3 - Working paper

BT - Unit roots, nonlinearities and structural breaks

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -