TESTING FOR A UNIT-ROOT IN VARIABLES WITH A DOUBLE CHANGE IN THE MEAN

Authors
CLEMENTE J MONTANES A REYES M
Citation
J. Clemente et al., TESTING FOR A UNIT-ROOT IN VARIABLES WITH A DOUBLE CHANGE IN THE MEAN, Economics letters, 59(2), 1998, pp. 175-182
Citations number
13
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
59
Issue
2
Year of publication
1998
Pages
175 - 182
Database
ISI
SICI code
0165-1765(1998)59:2<175:TFAUIV>2.0.ZU;2-G
Abstract
This paper extends the Perron and Vogelsang (1992) statistics to the c ase of two changes in the mean. After deriving the new asymptotic dist ributions, we tabulate them for finite samples and illustrate their pe rformance by analysing the long-term UK and the US real interest rate. (C) 1998 Elsevier Science S.A.