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Testing for a unit root in variables with a double change in the mean. (English) Zbl 1284.62523

Summary: This paper extends the statistics of P. Perron and T. Vogelsang [“Nonstationarity and level shifts with an application to purchasing power parity”, J. Bus. Econ. Stat. 10, No. 3, 301–320 (1992; doi:10.1080/07350015.1992.10509907)] 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.

MSC:

62M07 Non-Markovian processes: hypothesis testing
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P20 Applications of statistics to economics
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References:

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