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http://hdl.handle.net/10419/62871
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| Title: | | Unit root testing against the alternative hypothesis of up to m structural breaks  |
| 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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