Structural break PP unit root test
The structural break Phillips-Perron (PP) unit root test extends the classical PP framework to allow for one or more discrete shifts in the level or trend of a time series. By endogenously or exogenously identifying break dates and controlling for them, it tests the null of a unit root against a trend-stationary alternative that accommodates structural change, avoiding the spurious acceptance of non-stationarity caused by ignored breaks.
Kilderegistrering
Citater kopieret ordret fra metodens kilderegistrering. Ingen påstandsniveauverifikation er udledt heraf.
- Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics, 80(2), 355-385. · DOI 10.1016/S0304-4076(97)00049-3
- Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. · DOI 10.1093/biomet/75.2.335
Kuraterede påstande
Påstande gemt i bevis-loggen, hver med sin egen vurdering.
Denne visning opfinder ikke en påstandsvurdering, når loggen ingen har.
Relaterede metoder
Genereret fra metodegrafen og vist som maskinelt foreslåede relationer — ingen bevispåstand er udledt.
Den genererede relationsgraf har ingen udgående relation for denne metode.