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Title:Unit root testing against the alternative hypothesis of up to m structural breaks PDF Logo
Authors:Kapetanios, George
Issue Date:2002
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 469
Abstract:In this paper we provide tests for the unit root hypothesis against the occurence of an unspecified number of breaks which may be larger than 2 but smaller that the maximum allowed number of breaks, m, in univariate time series models. The advocated procedure is considerably less computationally intensive than those widely used in the literature. We provide critical values for the test, examine its small sample properties through Monte Carlo experiments and apply the new test to the Nelson and Plosser macroeconomic series.
Subjects:Unit root, Structural break
JEL:C13
C15
C32
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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