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Survey on structural breaks and unit root tests. / Skrobotov, Anton.

In: Applied Econometrics, Vol. 58, 2020, p. 96-141.

Research output: Contribution to journal › Review article › peer-review

Harvard

Skrobotov, A 2020, 'Survey on structural breaks and unit root tests', Applied Econometrics, vol. 58, pp. 96-141. https://doi.org/10.22394/1993-7601-2020-58-96-141

APA

Skrobotov, A. (2020). Survey on structural breaks and unit root tests. Applied Econometrics, 58, 96-141. https://doi.org/10.22394/1993-7601-2020-58-96-141

Vancouver

Skrobotov A. Survey on structural breaks and unit root tests. Applied Econometrics. 2020;58:96-141. https://doi.org/10.22394/1993-7601-2020-58-96-141

Author

Skrobotov, Anton. / Survey on structural breaks and unit root tests. In: Applied Econometrics. 2020 ; Vol. 58. pp. 96-141.

BibTeX

@article{3224b1153884479a8b001b1825687904,
title = "Survey on structural breaks and unit root tests",
abstract = "This review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.",
keywords = "Non-stationary volatility, Robust methods, Stationarity testing, Structural breaks, Unit root testing",
author = "Anton Skrobotov",
note = "Publisher Copyright: {\textcopyright} 2020 Sinergia Press. All rights reserved.",
year = "2020",
doi = "10.22394/1993-7601-2020-58-96-141",
language = "English",
volume = "58",
pages = "96--141",
journal = "Applied Econometrics",
issn = "1993-7601",
publisher = "СИНЕРГИЯ",

}

RIS

TY - JOUR

T1 - Survey on structural breaks and unit root tests

AU - Skrobotov, Anton

N1 - Publisher Copyright: © 2020 Sinergia Press. All rights reserved.

PY - 2020

Y1 - 2020

N2 - This review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.

AB - This review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.

KW - Non-stationary volatility

KW - Robust methods

KW - Stationarity testing

KW - Structural breaks

KW - Unit root testing

UR - http://www.scopus.com/inward/record.url?scp=85091884210&partnerID=8YFLogxK

U2 - 10.22394/1993-7601-2020-58-96-141

DO - 10.22394/1993-7601-2020-58-96-141

M3 - Review article

AN - SCOPUS:85091884210

VL - 58

SP - 96

EP - 141

JO - Applied Econometrics

JF - Applied Econometrics

SN - 1993-7601

ER -

ID: 92711696