A new unit root test with two structural breaks in level and slope at unknown time

DOI10.1080/02664760903039883OpenAlexW1985753678MaRDI QIDQ5123628

Stephan Popp, Paresh Kumar Narayan

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760903039883

zbMATH Keywords

Monte Carlo simulationsunit root testmultiple structural breaksbreak date estimationUS macroeconomic variables

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites Work

• Further evidence on breaking trend functions in macroeconomic variables
• New innovational outlier unit root test with a break at an unknown time
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit‐root testing against the alternative hypothesis of up to m structural breaks

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