Title of article
Testing for a unit root in variables with a double change in the mean
Author/Authors
Jes?s Clemente، نويسنده , , Antonio Monta?és، نويسنده , , Marcelo Reyes، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
8
From page
175
To page
182
Abstract
This paper extends the Perron and Vogelsang (1992) statistics to the case of two changes in the mean. After deriving the new asymptotic distributions, we tabulate them for finite samples and illustrate their performance by analysing the long-term UK and the US real interest rate.
Keywords
Unit root tests , Structural break: Wiener Process: Real interest rate
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434545
Link To Document