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dc.contributor.authorKapetanios, Georgeen_US
dc.date.accessioned2012-09-20T13:00:48Z-
dc.date.available2012-09-20T13:00:48Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/62871-
dc.description.abstractIn 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.en_US
dc.language.isoengen_US
dc.publisherQueen Mary, Univ. of London, Dep. of Economics Londonen_US
dc.relation.ispartofseriesWorking Paper, Department of Economics, Queen Mary, University of London 469en_US
dc.subject.jelC13en_US
dc.subject.jelC15en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordUnit root, Structural breaken_US
dc.subject.stwUnit Root Testen_US
dc.subject.stwStrukturbruchen_US
dc.subject.stwMonte-Carlo-Methodeen_US
dc.titleUnit root testing against the alternative hypothesis of up to m structural breaksen_US
dc.typeWorking Paperen_US
dc.identifier.ppn377024686en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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