Econometrics Paper

Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in 'Journal of Time Series Analysis', 22 (2001), pp.127-150.)

Fabio Busetti and Andrew C Harvey

The paper considers tests for the presence of a random walk component in a stationary or trend stationary time series and extends them to series which contain structural breaks. The locally best invariant (LBI) test is d...Read more...