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- W2022147277 abstract "We show that Perron’s [Perron, P., 1990. Testing for a unit root in a time series with a changing mean. Journal of Business and Economic Statistics 8, 153–162] unit root test can be oversized when there is a break in the innovation variance. We propose a modified Perron test that maintains its size, and has power against the mean-break stationary alternative." @default.
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- W2022147277 date "2009-02-01" @default.
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- W2022147277 title "Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative" @default.
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- W2022147277 doi "https://doi.org/10.1016/j.spl.2008.09.005" @default.
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