| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3510 |
| 来源ID | Working Paper 3510 |
| Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence | |
| Anindya Banerjee; Robin L. Lumsdaine; James H. Stock | |
| 发表日期 | 1990-11-08 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. The recursive and rolling tests are based on a time series of recursively estimated coefficients, computed using increasing subsamples of the data. The sequential statistics are computed using the full data set and a sequence of regressors indexed by a "break" date. When applied to data on real postwar output from seven DECO countries, these techniques fail to reject the unit root hypothesis for five countries (including the U.S.), but suggest stationarity around a shifted trend for Japan. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/w3510 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560815 |
| 推荐引用方式 GB/T 7714 | Anindya Banerjee,Robin L. Lumsdaine,James H. Stock. Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence. 1990. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3510.pdf（491KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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