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Title:Structural change and unit roots
Author(s):Nunes, Luis Miguel Rainho Catela
Doctoral Committee Chair(s):Newbold, Paul
Department / Program:Statistics
Economics, Theory
Discipline:Statistics
Economics, Theory
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Statistics
Economics, Theory
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.
Issue Date:1994
Type:Text
Language:English
URI:http://hdl.handle.net/2142/23734
Rights Information:Copyright 1994 Nunes, Luis Miguel Rainho Catela
Date Available in IDEALS:2011-05-07
Identifier in Online Catalog:AAI9512500
OCLC Identifier:(UMI)AAI9512500


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