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Title:A nonlinear unit root test in the presence of an unknown break PDF Logo
Authors:Popp, Stephan
Issue Date:2008
Series/Report no.:Ruhr economic papers 45
Abstract:The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in coefficient. Taking account of the nonlinearity leads to a test with properties that are exclusively assigned to Schmidt-Phillips LM-type unit root tests.
Subjects:Unit root tests
nonlinear regression
structural breaks
innovational outliers
JEL:C12
C22
ISBN:978-3-86788-046-6
Document Type:Working Paper
Appears in Collections:Ruhr Economic Papers, RWI
Publikationen von Forscherinnen und Forschern des RWI

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