Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26810
Authors: 
Popp, Stephan
Year of Publication: 
2008
Series/Report no.: 
Ruhr economic papers 45
Abstract: 
The 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.
Subjects: 
Unit root tests
nonlinear regression
structural breaks
innovational outliers
JEL: 
C12
C22
ISBN: 
978-3-86788-046-6
Document Type: 
Working Paper

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