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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Pierre Perron

Econometrica, 1989. DOI 10.2307/1913712

Has this study been replicated?

The atlas records 1 reproduction of this study. Recorded outcomes: 1 mixed.

Reproductions

• Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Zivot & Andrews (2002). Journal of Business & Economic Statistics. Outcome recorded: computation not checked, robustness challenges. Robustness: by treating the breakpoint as endogenous, we find that there is less evidence against the unit-root hypothesis than Perron finds for many of the data series but stronger evidence against if for several of the series, including the Nelson–Plosser industrial-production, nominal-GNP, and real-GNP series. Read from Robustness: abstract. View paper

Cite this record

Perron, P. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. Econometrica, 57(6), 1361. https://doi.org/10.2307/1913712

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