Unit root testing under structural breaks

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In this paper are analyzed eleven stock market indices in order to conclude about their integration orders. With this objective in mind, three tests are performed. The first test, is the standard Augmented Dickey-Fuller (ADF) unit root test. It is known that this test can face problems of lack of po...

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Autores principales: Buzzi, Sergio Martín, Ojeda, Silvia María
Formato: conferenceObject
Lenguaje:Inglés
Publicado: 2021
Materias:
Unit root
Time series
Structural breaks
Stock markets
Acceso en línea:http://hdl.handle.net/11086/18774
Aporte de:
Repositorio Digital Universitario (UNC) de Universidad Nacional de Córdoba

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