Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks

In this paper we provide tests for the unit-root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller than the maximum number of breaks allowed, 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 and examine its small sample properties through Monte Carlo experiments

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Year of publication:	2005
Authors:	Kapetanios, George
Publisher:	[S.l.] : SSRN
Subject:	Strukturbruch \| Structural break \| Einheitswurzeltest \| Unit root test \| Monte-Carlo-Simulation \| Monte Carlo simulation

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014067719