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dc.contributor.authorPopp, Stephanen_US
dc.date.accessioned2008-07-08en_US
dc.date.accessioned2009-08-06T09:02:08Z-
dc.date.available2009-08-06T09:02:08Z-
dc.date.issued2008en_US
dc.identifier.isbn978-3-86788-046-6en_US
dc.identifier.urihttp://hdl.handle.net/10419/26810-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherRWI Essenen_US
dc.relation.ispartofseriesRuhr economic papers 45en_US
dc.subject.jelC12en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordUnit root testsen_US
dc.subject.keywordnonlinear regressionen_US
dc.subject.keywordstructural breaksen_US
dc.subject.keywordinnovational outliersen_US
dc.subject.stwUnit Root Testen_US
dc.subject.stwRegressionen_US
dc.subject.stwStrukturbruchen_US
dc.subject.stwNichtlineares Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleA nonlinear unit root test in the presence of an unknown breaken_US
dc.typeWorking Paperen_US
dc.identifier.ppn571468462en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Publikationen von Forscherinnen und Forschern des RWI
Ruhr Economic Papers, RWI

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