Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62871 
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dc.contributor.authorKapetanios, Georgeen
dc.date.accessioned2012-09-20T13:00:48Z-
dc.date.available2012-09-20T13:00:48Z-
dc.date.issued2002-
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
dc.language.isoengen
dc.publisher|aQueen Mary University of London, Department of Economics |cLondonen
dc.relation.ispartofseries|aWorking Paper |x469en
dc.subject.jelC13en
dc.subject.jelC15en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordUnit root, Structural breaken
dc.subject.stwUnit Root Testen
dc.subject.stwStrukturbruchen
dc.subject.stwMonte-Carlo-Methodeen
dc.titleUnit root testing against the alternative hypothesis of up to m structural breaks-
dc.typeWorking Paperen
dc.identifier.ppn377024686en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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