Pierre Perron
This study investigates the null hypothesis that a time series possesses a unit root with potentially nonzero drift against the alternative hypothesis of a trend-stationary process. The significance of this research lies in its allowance for a one-time change in either the level or the slope of the trend function under both hypotheses. It is demonstrated that conventional tests for the unit root hypothesis cannot reject this hypothesis when the actual data-generating mechanism is stationary fluctuations around a trend function with a one-time break, even under asymptotic conditions. The study further derives test statistics capable of distinguishing between the two hypotheses when a break is present, and establishes their limiting distribution.
@article{e9a21059-b7b4-4c89-97b8-90a9f4b7cff7,
title={The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis},
author={Pierre Perron},
year={1989},
language={en}
}TY - JOUR TI - The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis AU - Pierre Perron PY - 1989 LA - en ER -
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