{"id":"https://openalex.org/W2008778864","doi":"https://doi.org/10.1023/a:1020945428824","title":"Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors","display_name":"Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors","publication_year":2002,"publication_date":"2002-12-01","ids":{"openalex":"https://openalex.org/W2008778864","doi":"https://doi.org/10.1023/a:1020945428824","mag":"2008778864"},"language":"en","primary_location":{"id":"doi:10.1023/a:1020945428824","doi":"https://doi.org/10.1023/a:1020945428824","is_oa":false,"landing_page_url":"https://doi.org/10.1023/a:1020945428824","pdf_url":null,"source":{"id":"https://openalex.org/S98984247","display_name":"Computational Economics","issn_l":"0927-7099","issn":["0927-7099","1572-9974"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://centaur.reading.ac.uk/24164/1/24164.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049205417","display_name":"Chris Brooks","orcid":"https://orcid.org/0000-0002-2668-1153","observed_orcids":["https://orcid.org/0000-0002-2668-1153"]},"institutions":[{"id":"https://openalex.org/I71052956","display_name":"University of Reading","ror":"https://ror.org/05v62cm79","country_code":"GB","type":"education","lineage":["https://openalex.org/I71052956"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Chris Brooks","raw_affiliation_strings":["ISMA Centre, University of Reading, Whiteknights, RG6 6BA, U.K","ISMA Centre, University of Reading, Whiteknights RG6 6BA, U.K.; E-mail: C.Brooks@ismacentre.reading.ac.uk#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ISMA Centre, University of Reading, Whiteknights, RG6 6BA, U.K","institution_ids":["https://openalex.org/I71052956"]},{"raw_affiliation_string":"ISMA Centre, University of Reading, Whiteknights RG6 6BA, U.K.; E-mail: C.Brooks@ismacentre.reading.ac.uk#TAB#","institution_ids":["https://openalex.org/I71052956"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5080126298","display_name":"Alistair G. Rew","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I71052956","display_name":"University of Reading","ror":"https://ror.org/05v62cm79","country_code":"GB","type":"education","lineage":["https://openalex.org/I71052956"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Alistair G. Rew","raw_affiliation_strings":["ISMA Centre, University of Reading, Whiteknights, RG6 6BA, U.K"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ISMA Centre, University of Reading, Whiteknights, RG6 6BA, U.K","institution_ids":["https://openalex.org/I71052956"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5049205417"],"corresponding_institution_ids":["https://openalex.org/I71052956"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":31,"citation_normalized_percentile":{"value":0.31894616,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"20","issue":"3","first_page":"157","last_page":"176"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5907999873161316,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5907999873161316,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.38769999146461487,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13370","display_name":"Diverse Scientific and Economic Studies","score":0.007000000216066837,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/unit-root-tests","display_name":"unit root tests","score":0.8859999775886536},{"id":"https://openalex.org/keywords/structural-breaks","display_name":"structural breaks","score":0.8349999785423279},{"id":"https://openalex.org/keywords/garch-errors","display_name":"GARCH errors","score":0.9860000014305115},{"id":"https://openalex.org/keywords/perron-test","display_name":"Perron test","score":0.8519999980926514},{"id":"https://openalex.org/keywords/conditional-heteroscedasticity","display_name":"conditional heteroskedasticity","score":0.8949999809265137},{"id":"https://openalex.org/keywords/integrated-volatility","display_name":"integrated volatility","score":0.39899998903274536},{"id":"https://openalex.org/keywords/test-size","display_name":"test size","score":0.3630000054836273}],"concepts":[{"id":"https://openalex.org/C2777727622","wikidata":"https://www.wikidata.org/wiki/Q5251772","display_name":"Degeneracy (biology)","level":2,"score":0.6985463500022888},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.61383056640625},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.603098452091217},{"id":"https://openalex.org/C195561663","wikidata":"https://www.wikidata.org/wiki/Q1307899","display_name":"Unit root","level":2,"score":0.5383070707321167},{"id":"https://openalex.org/C191988596","wikidata":"https://www.wikidata.org/wiki/Q628374","display_name":"Null hypothesis","level":2,"score":0.48784375190734863},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4865821599960327},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.4406406283378601},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.4262397289276123},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.38265860080718994},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.35427096486091614},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3508678376674652},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.19061103463172913},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.09201544523239136},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.08604782819747925},{"id":"https://openalex.org/C60644358","wikidata":"https://www.wikidata.org/wiki/Q128570","display_name":"Bioinformatics","level":1,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1023/a:1020945428824","doi":"https://doi.org/10.1023/a:1020945428824","is_oa":false,"landing_page_url":"https://doi.org/10.1023/a:1020945428824","pdf_url":null,"source":{"id":"https://openalex.org/S98984247","display_name":"Computational Economics","issn_l":"0927-7099","issn":["0927-7099","1572-9974"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Economics","raw_type":"journal-article"},{"id":"pmh:oai:centaur.reading.ac.uk:24164","doi":null,"is_oa":true,"landing_page_url":"https://centaur.reading.ac.uk/view/creators/90002260.html>","pdf_url":"https://centaur.reading.ac.uk/24164/1/24164.pdf","source":{"id":"https://openalex.org/S4306402273","display_name":"CentAUR (University of Reading)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I71052956","host_organization_name":"University of Reading","host_organization_lineage":["https://openalex.org/I71052956"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:research-information.bris.ac.uk:openaire_cris_publications/9736bf54-dbb5-459d-9c05-1d0bfe0b90b8","doi":null,"is_oa":false,"landing_page_url":"https://research-information.bris.ac.uk/en/publications/9736bf54-dbb5-459d-9c05-1d0bfe0b90b8","pdf_url":null,"source":{"id":"https://openalex.org/S7407055359","display_name":"Explore Bristol Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Brooks, C & Rew, A 2002, 'Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors', Computational Economics, vol. 20, no. 3, pp. 151-176. https://doi.org/10.1023/A:1020945428824","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:research-information.bris.ac.uk:publications/9736bf54-dbb5-459d-9c05-1d0bfe0b90b8","doi":null,"is_oa":false,"landing_page_url":"https://centaur.reading.ac.uk/24164/","pdf_url":null,"source":{"id":"https://openalex.org/S4306400895","display_name":"Bristol Research (University of Bristol)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I36234482","host_organization_name":"University of Bristol","host_organization_lineage":["https://openalex.org/I36234482"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Brooks, C & Rew, A 2002, 'Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors', Computational Economics, vol. 20, no. 3, pp. 151-176. https://doi.org/10.1023/A:1020945428824","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:centaur.reading.ac.uk:24164","doi":null,"is_oa":true,"landing_page_url":"https://centaur.reading.ac.uk/view/creators/90002260.html>","pdf_url":"https://centaur.reading.ac.uk/24164/1/24164.pdf","source":{"id":"https://openalex.org/S4306402273","display_name":"CentAUR (University of Reading)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I71052956","host_organization_name":"University of Reading","host_organization_lineage":["https://openalex.org/I71052956"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2008778864.pdf","grobid_xml":"https://content.openalex.org/works/W2008778864.grobid-xml"},"referenced_works_count":31,"referenced_works":["https://openalex.org/W232291344","https://openalex.org/W1576326745","https://openalex.org/W1607204504","https://openalex.org/W1607221001","https://openalex.org/W1963613776","https://openalex.org/W1975994995","https://openalex.org/W1979575715","https://openalex.org/W1982971999","https://openalex.org/W1999996900","https://openalex.org/W2038532793","https://openalex.org/W2049287603","https://openalex.org/W2065747393","https://openalex.org/W2077115352","https://openalex.org/W2078955346","https://openalex.org/W2082642328","https://openalex.org/W2085246777","https://openalex.org/W2094654669","https://openalex.org/W2108818539","https://openalex.org/W2116388354","https://openalex.org/W2124120883","https://openalex.org/W2167116520","https://openalex.org/W3020961569","https://openalex.org/W3124662040","https://openalex.org/W4230644069","https://openalex.org/W4237352268","https://openalex.org/W4240224771","https://openalex.org/W4242895211","https://openalex.org/W4243444765","https://openalex.org/W4293098276","https://openalex.org/W4293507940","https://openalex.org/W6842637831"],"related_works":["https://openalex.org/W2000905258","https://openalex.org/W2046445861","https://openalex.org/W1484330243","https://openalex.org/W3215410229","https://openalex.org/W1982971999","https://openalex.org/W2509260405","https://openalex.org/W2128175532","https://openalex.org/W1968843728","https://openalex.org/W961323431","https://openalex.org/W2053600959"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":8},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}