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Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Essen >
Ruhr Economic Papers, RWI >
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http://hdl.handle.net/10419/26810
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| Title: | | A nonlinear unit root test in the presence of an unknown break  |
| 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: | | Publikationen von Forscherinnen und Forschern des RWI Ruhr Economic Papers, RWI
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