HANDBOOK OF ECONOMETRICS 46

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46. Unit Roots, Structural Breaks and Trends - James H. Stock.pdf (6.74 MB, 需要: 3 个论坛币)

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关键词：econometrics Econometric handbook metrics econom econometrics handbook

Chapter 46
UNIT ROOTS, STRUCTURAL BREAKS AND TRENDS
JAMES H. STOCK*
Harvard University
Contents
Abstract
1. Introduction
2. Models and preliminary asymptotic theory
2.1. Basic concepts and notation
2.2. The functional central limit theorem and related tools
2.3. Examples and preliminary results
2.4. Generalizations and additional references
3. Unit autoregressive roots
3.1. Point estimation
3.2. Hypothesis tests
3.3. Interval estimation
4. Unit moving average roots
4.1. Point estimation
4.2. Hypothesis tests
5. Structural breaks and broken trends
5.1. Breaks in coefficients in time series regression
5.2. Trend breaks and tests for autoregressive unit roots
6. Tests of the I( 1) and I(0) hypotheses: links and practical limitations
6.1. Parallels between the I(0) and I(1) testing problems
6.2. Decision-theoretic classification schemes
6.3. Practical and theoretical limitations in the ability to distinguish I(0) and
I( 1) processes
References