Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective
| dc.contributor.author | Heracleous, Maria S. | en |
| dc.contributor.author | Koutris, Andreas | en |
| dc.contributor.author | Spanos, Aris | en |
| dc.date.accessioned | 2024-02-20T14:59:38Z | en |
| dc.date.available | 2024-02-20T14:59:38Z | en |
| dc.date.issued | 2008 | en |
| dc.description.abstract | In the 1980s and 1990s the issue of non-stationarity in economic time series has been discussed in the context of unit roots vs. mean trends in AR(p) models. More recently this perspective has been extended to include structural breaks. In this paper we take a much broader perspective by viewing the problem of changing parameters as one of misspecification testing due to the nonstationarity of the underlying process. The proposed misspecification testing procedure relies on resampling techniques to enhance the informational content of the observed data in an attempt to capture heterogeneity ‘locally’ using rolling window estimators of the primary moments of the stochastic process. The effectiveness of the testing procedure is assessed using extensive Monte Carlo simulations. | en |
| dc.description.version | Accepted version | en |
| dc.format.extent | Pages 363-384 | en |
| dc.format.extent | 20 page(s) | en |
| dc.identifier.uri | https://hdl.handle.net/10919/118065 | en |
| dc.identifier.volume | 27 | en |
| dc.rights | In Copyright | en |
| dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | en |
| dc.title | Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective | en |
| dc.title.serial | Econometric Reviews | en |
| dc.type | Article - Refereed | en |
| dc.type.other | Article | en |
| pubs.organisational-group | /Virginia Tech | en |
| pubs.organisational-group | /Virginia Tech/Science | en |
| pubs.organisational-group | /Virginia Tech/Science/Economics | en |
| pubs.organisational-group | /Virginia Tech/All T&R Faculty | en |
| pubs.organisational-group | /Virginia Tech/Science/COS T&R Faculty | en |