A Nonlinear Unit Root Test in the Presence of an Unknown Break

Research, Preprint OPEN
Stephan Popp; (2008)
  • Publisher: Essen: Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
  • Subject: nonlinear regression | C22 | Strukturbruch | Nichtlineares Verfahren | Unit Root Test | C12 | innovational outliers | structural breaks | Unit root tests, nonlinear regression, structural breaks, innovational outliers | Unit root tests | Regression | Unit root tests,nonlinear regression,structural breaks,innovational outliers | Theorie
    • jel: jel:C12 | jel:C22
      ddc: ddc:330

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 regressio... View more
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