Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/26810 
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dc.contributor.authorPopp, Stephanen
dc.date.accessioned2008-07-08-
dc.date.accessioned2009-08-06T09:02:08Z-
dc.date.available2009-08-06T09:02:08Z-
dc.date.issued2008-
dc.identifier.isbn978-3-86788-046-6en
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
dc.language.isoengen
dc.publisher|aRheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI) |cEssenen
dc.relation.ispartofseries|aRuhr Economic Papers |x45en
dc.subject.jelC12en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordUnit root testsen
dc.subject.keywordnonlinear regressionen
dc.subject.keywordstructural breaksen
dc.subject.keywordinnovational outliersen
dc.subject.stwUnit Root Testen
dc.subject.stwRegressionen
dc.subject.stwStrukturbruchen
dc.subject.stwNichtlineares Verfahrenen
dc.subject.stwTheorieen
dc.titleA Nonlinear Unit Root Test in the Presence of an Unknown Break-
dc.typeWorking Paperen
dc.identifier.ppn571468462en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:rwirep:45en

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