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Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance

โœ Scribed by Amit Sen


Book ID
111040023
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
544 KB
Volume
28
Category
Article
ISSN
0143-9782

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Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inยฏation rates of thirteen OECD countries. With individual country tests, we ยฎnd evidence of stationarity in only four of the thirteen countries. The results are more striking with the panel data mode