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https://hdl.handle.net/2142/23734
Description
Title
Structural change and unit roots
Author(s)
Nunes, Luis Miguel Rainho Catela
Issue Date
1994
Doctoral Committee Chair(s)
Newbold, Paul
Department of Study
Statistics
Economics, Theory
Discipline
Statistics
Economics, Theory
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Statistics
Economics, Theory
Language
eng
Abstract
This thesis contains a discussion of three problems related to structural changes and unit-roots in time-series analysis. First, it is shown under which conditions it is possible to consistently estimate the break date in a model with one structural break. It is also shown that when the errors have a unit-root, it is possible to spuriously estimate a break when there is none. Second, the same issues are discussed with respect to estimating the number of breaks. Finally, it is considered the problem of testing for unit-roots in the presence of structural breaks. New evidence is presented for the Nelson-Plosser macroeconomic data that strongly weaken recent results that reject the unit-root hypothesis for these series.
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