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Nonparametric Unit Root Test and Structural Breaks

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Published/Copyright: April 27, 2011
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Journal of Time Series Econometrics
From the journal Journal of Time Series Econometrics Volume 3 Issue 2

It is a well known fact that stationarity and unit roots tests are seriously distorted, when the true data generating process is stationary around a broken trend. In this paper, the behaviour of Breitung’s (J. Econom. (2002) 343-363) variance ratio test for unit roots is analyzed. It is shown that the test may be inconsistent against stationary alternatives with structural breaks. In addition, a new test procedure to account for structural breaks is proposed.

Keywords: Breitung’s test; structural breaks
Published Online: 2011-4-27

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston

Articles in the same Issue

  1. Article
  2. Some New Results for Threshold AR(1) Models
  3. Detection of Additive Outliers in Seasonal Time Series
  4. Nonparametric Unit Root Test and Structural Breaks
  5. Estimating Autocorrelations in the Presence of Deterministic Trends
https://doi.org/10.2202/1941-1928.1048
Keywords for this article
Breitung’s test; structural breaks

Articles in the same Issue

  1. Article
  2. Some New Results for Threshold AR(1) Models
  3. Detection of Additive Outliers in Seasonal Time Series
  4. Nonparametric Unit Root Test and Structural Breaks
  5. Estimating Autocorrelations in the Presence of Deterministic Trends
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