Title of article :
Response surface estimates of stationarity tests with a structural break
Author/Authors :
Mar?a José Presno، نويسنده , , Ana Jes?s L?pez، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Abstract :
Standard stationarity tests are affected by structural breaks. Therefore, modified tests have been developed including changes in the intercept and/or slope. In this work, response surfaces for a modified stationarity test are estimated allowing the approximation of critical values for different break locations and sample sizes.
Keywords :
Structural break , Stationarity tests , response surface , Monte Carlo
Journal title :
Economics Letters
Journal title :
Economics Letters