Project CEMAPRE internal
| Title | Double unit roots and structural breaks |
| Participants | Nuno Sobreira (Principal Investigator) |
| Summary | The objective of this project is to develop statistical inference procedures to test for the presence of up to two unit roots in a given time series. The innovation as regards to previous works is that these time series may have structural breaks in the trend function, in particular, level, slope and curvature. In fact, we want to propose statistical tests that are robust to uncertainty about the presence of structural breaks in the deterministic component of the Data Generating Process (DGP). Under this project, we expect to produce new insights about the following issues: - Monte Carlo simulations with the standard existing methodologies in the literature and the new proposed statistics that show the relevance of this subject; - Detailed examination of the asymptotic properties of the the standard existing methodologies in the literature and the new statistical tests which show the relevance of this subject and allow the practitioner to apply the proposed statistics; - Empirical applications with macroeconomic and financial data which illustrate the proposed methodologies |