On the end-point issue in unit root tests in the presence of a structural break.

DOI10.1016/S0165-1765(00)00213-5zbMath1061.62556OpenAlexW2005192642WikidataQ127155053 ScholiaQ127155053MaRDI QIDQ1978720

Junsoo Lee

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00213-5

zbMATH Keywords

Unit root testStructural breakEnd point

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?

Cites Work

• Estimating the autocorrelated error model with trended data
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

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