Structural change and unit roots

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Statistics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Nunes, Luis Miguel Rainho Catela

Contributors dc:contributor

• Newbold, Paul

• Statistics
• Economics, Theory

Statement dc:rights

• Copyright 1994 Nunes, Luis Miguel Rainho Catela

Language dc:language

eng

Identifier

AAI9512500
(UMI)AAI9512500

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/23734