MARC details
| 000 -LEADER |
|---|
| fixed length control field |
02381nam a22002897a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240326095401.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240326b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Harris, David |
| Relator term |
author |
| 245 00 - TITLE STATEMENT |
|---|
| Title |
Testing for a unit root in the presence of a possible break in trend |
| Statement of responsibility, etc. |
created by David Harris, David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 6 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
We consider the issue of testing a time series for a unit root in the possible presence of a break in a linear deterministic trend at an unknown point in the series. We propose a new break fraction estimator which, where a break in trend occurs, is consistent for the true break fraction at rate Op(T−1). Unlike other available estimators, however, when there is no trend break, our estimator converges to zero at rate Op(T−1/2). Used in conjunction with a quasi difference (QD) detrended unit root test that incorporates a trend break regressor, we show that these rates of convergence ensure that known break fraction null critical values are asymptotically valid. Unlike available procedures in the literature, this holds even if there is no break in trend (the break fraction is zero). Here the trend break regressor is dropped from the deterministic component, and standard QD detrended unit root test critical values then apply. We also propose a second procedure that makes use of a formal pretest for a trend break in the series, including a trend break regressor only where the pretest rejects the null of no break. Both procedures ensure that the correctly sized (near-) efficient unit root test that allows (does not allow) for a break in trend is applied in the limit when a trend break does (does not) occur. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Unit root test |
| Form subdivision |
Quasi difference de-trending |
| General subdivision |
Trend break |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Pre-test |
| General subdivision |
Asymptotic power |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Harvey, David I |
| Relator term |
co author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Leybourne, Stephen J |
| Relator term |
co author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Taylor, A. M. Robert |
| Relator term |
co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
https://doi.org/10.1017/S0266466609990259 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |