Andreou, E. ; Spanos, A. Statistical adequacy and the testing of trend versus difference stationarity and comments. 2003 Econometric Reviews. 22 217-267
Balke, N.S. Detecting level shifts in time series. 1993 Journal of Business and Economic Statistics. 11 81-92
Balke, N.S. ; Fomby, T.B. Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic time series. 1994 Journal of Applied Econometrics. 9 181-200
Balke, N.S. ; Fomby, T.B. Shifting trends, segmented trends, and infrequent permanent shocks. 1991 Journal of Monetary Economics. 28 61-85
Banerjee, A. ; Urga, G. Modelling structural breaks, long memory and stock market volatility: an overview. 2005 Journal of Econometrics. 129 1-34
Blanchard, O. ; Simon, J. The long and large decline in US output volatility. 2001 Brookings Papers on Economic Activity. 1 135-174
- Box, G.E.P. ; Tiao, G.C. Intervention analysis with applications to economic and environmental problems. 1975 Journal of the American Statistical Association. 70 70-79
Paper not yet in RePEc: Add citation now
Bradley, M.D. ; Jansen, D.W. Unit roots and infrequent large shocks: new international evidence on output growth. 1995 Journal of Money, Credit, and Banking. 27 876-893
- Brock, W.A. ; Dechert, W.D. ; Scheinkman, J.A. ; LeBaron, B. A test for independence based on the correlation dimension. 1996 Econometric Reviews. 15 197-235
Paper not yet in RePEc: Add citation now
Campbell, J.Y., Perron, P., 1991. Pitfalls and opportunities: what macroeconomists should know about unit roots. In: Blanchard O.J., Fisher S. (Eds.), NBER Macroeconomic Annual, vol. 6, pp. 141–201.
Cavaliere, G. ; Georgiev, I. Robust inference in autoregressions with multiple outliers. 2009 Econometric Theory. 25 1625-1661
- Chang, I. ; Tiao, G.C. ; Chen, C. Estimation of time series parameters in the presence of outliers. 1988 Technometrics. 30 193-204
Paper not yet in RePEc: Add citation now
Charles, A. ; Darné, O. Large shocks in US macroeconomic time series: 1860–1988. 2011 Cliometrica. 5 79-100
- Chen, C. ; Liu, L.M. Joint estimation of model parameters and outlier effects in time series. 1993 Journal of the American Statistical Association. 88 284-297
Paper not yet in RePEc: Add citation now
- Darné, O. Spurious rejections with endogenous break unit root tests in the presence of outliers and breaks. 2009 Communications in Statistics and Simulation and Computation. 38 1037-1050
Paper not yet in RePEc: Add citation now
Darné, O. ; Diebolt, C. Unit roots and infrequent large shocks: new international evidence on output. 2004 Journal of Monetary Economics. 51 1449-1465
- Dickey, D.A. ; Fuller, W.A. Distribution of the estimators for autoregressive time series with a unit root. 1979 Journal of the American Statistical Association. 74 427-431
Paper not yet in RePEc: Add citation now
Elliott, G. ; Rothenberg, T.J. ; Stock, J.H. Efficient tests for an autoregressive unit root. 1996 Econometrica. 64 813-836
Engle, R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations. 1982 Econometrica. 50 987-1007
Escanciano, J.C. ; Lobato, I.N. An automatic Portmanteau test for serial correlation. 2009 Journal of Econometrics. 151 140-149
Franses, P.H. ; Haldrup, N. The effects of additive outliers on tests for unit roots and cointegration. 1994 Journal of Business and Economic Statistics. 12 471-478
- Gómez, V., Maravall, A., 1997. Programs TRAMO and SEATS: instructions for the user (Beta version: June 1997). Working paper No. 97001, Ministerio de EconomÃa y Hacienda, Dirección General de Análisis y Programación Presupuestaria.
Paper not yet in RePEc: Add citation now
Haldrup, N. ; Sansó, A. A note on the Vogelsang test for additive outliers. 2008 Statistics and Probability Letters. 78 296-300
Harvey, D. ; Leybourne, S. ; Newbold, P. Innovational outlier unit root tests with an endogenously determined break in level. 2001 Oxford Bulletin of Economics and Statistics. 63 559-575
Hoek, H. ; Lucas, A. ; van Dijk, H.K. Classical and Bayesian aspects of robust unit root inference. 1995 Journal of Econometrics. 69 27-59
Kim, T-H. ; Leybourne, S.J. ; Newbold, P. Spurious rejections by Perron tests in the presence of a break. 2000 Oxford Bulletin of Economics and Statistics. 62 433-444
Lee, J. ; Strazicich, M.C. Break point estimation and spurious rejections with endogenous unit root tests. 2001 Oxford Bulletin of Economics and Statistics. 68 535-558
Lee, J. ; Strazicich, M.C. Minimum Lagrange multiplier unit root test with two structural break. 2003 The Review of Economics and Statistics. 85 1082-1089
Leybourne, S.J. ; Mills, T.C. ; Newbold, P. Spurious rejections by Dickey–Fuller tests in the presence of a break under the null. 1998 Journal of Econometrics. 87 191-203
Li, H. A re-examination of the Nelson–Plosser data set using recursive and sequential tests. 1995 Empirical Economics. 20 501-518
Lima, L.R. ; Filho, J. Further investigation of the uncertain trend in US GDP. 2008 Applied Economics. 40 1207-1216
Lima, L.R. ; Xiao, Z. Testing unit root based on partially adaptive estimation. 2010 Journal of Time Series Econometrics. 2 1-32
Lucas, A. An outlier robust unit root test with an application to the extended Nelson–Plosser data. 1995 Journal of Econometrics. 66 153-173
Lucas, A. Unit root tests based on M estimators. 1995 Econometric Theory. 11 331-346
Lumsdaine, R.L. ; Papell, D.H. Multiple trend breaks and the unit-root hypothesis. 1997 The Review of Economics and Statistics. 79 212-218
- Maddala, G.S. ; Kim, I-M. Unit Roots, Cointegration and Structural Change. 2000 Cambridge University Press: Cambridge
Paper not yet in RePEc: Add citation now
Montañés, A. ; Olloqui, I. ; Calvo, E. Selection of the break in the Perron-type tests. 2005 Journal of Econometrics. 129 41-64
Montañés, A. ; Reyes, M. Effect of a shift in the trend function on Dickey–Fuller unit root tests. 1998 Econometric Theory. 14 355-363
Nelson, C.R. ; Plosser, C.I. Trends and random walks in macroeconomic time series. 1982 Journal of Monetary Economics. 10 139-162
Ng, S. ; Perron, P. Lag length selection and the construction of unit root tests with good size and power. 2001 Econometrica. 69 1519-1554
Nunes, L. ; Newbold, P. ; Kuan, C. Testing for unit roots with breaks: evidence on the great cCrash and the unit root hypothesis reconsidered. 1997 Oxford Bulletin of Economics and Statistics. 59 435-448
Orphanides, A. Historical monetary policy analysis and the Taylor rule. 2003 Journal of Monetary Economics. 50 983-1022
Papell, D.H. ; Prodan, R. Restricted structural change and the unit root hypothesis. 2007 Economic Inquiry. 45 834-853
- Perron, P. Dealing with structural breaks. 2006 En : . MacMillan: London
Paper not yet in RePEc: Add citation now
Perron, P. Further evidence on breaking trend functions in macroeconomic variables. 1997 Journal of Econometrics. 80 355-385
Perron, P. The great crash, the oil price shock, and the unit root hypothesis. 1989 Econometrica. 57 1361-1401
Perron, P. ; Rodriguez, G. Searching for additive outliers in nonstationary time series. 2003 Journal of Time Series Analisis. 24 193UË220-
Rappoport, P. ; Reichlin, L. Segmented trends and non-stationary time series. 1989 The Economic Journal. 99 168-177
RodrÃguez, G. An empirical note about additive outliers and nonstationarity in Latin–American inflation series. 2004 Empirical Economics. 29 361-372
Schotman, P. ; van Dijk, H.K. On Bayesian routes to unit roots. 1991 Journal of Applied Econometrics. 6 387-401
Sen, A. Are US macroeconomic series difference stationary or trend-break stationary?. 2004 Applied Economics. 36 2025-2029
Sen, A. Behaviour of Dickey–Fuller tests when there is a break under the unit root null hypothesis. 2008 Statistics and Probability Letters. 78 622-628
Sen, A. On unit-root tests when the alternative is a trend-break stationary process. 2003 Journal of Business and Economic Statistics. 21 174-184
Shin, D.W. ; Sarkar, S. ; Lee, J.H. Unit root tests for time series with outliers. 1996 Statistics and Probability Letters. 30 189-197
Tolvi, J. Outliers in eleven finnish macroeconomic time series. 2001 Finnish Economic Papers. 14 14-32
- Tsay, R.S. Outliers, level shifts, and variance changes in time series. 1988 Journal of Forecasting. 7 1-20
Paper not yet in RePEc: Add citation now
- van Dijk, D. ; Franses, P.H. ; Lucas, A. Testing for ARCH in the presence of additive outliers. 2002 Journal of Applied Econometrics. 14 539-562
Paper not yet in RePEc: Add citation now
Vogelsang, T.J. Two simple procedures for testing for a unit root when there are additive outliers. 1999 Journal of Time Series Analysis. 20 237-252
- Yin, Y. ; Maddala, G.S. The effects of different types of outliers on unit root tests. 1997 En : . JAI Press: Greenwich, Conn
Paper not yet in RePEc: Add citation now
Zivot, E. ; Andrews, D.W.K. Further evidence on the great crash, the oil price shock and the unit root hypothesis. 1992 Journal of Business and Economic Statistics. 10 251-270