Zivot, Eric; Andrews, Donald W K - In: Journal of Business & Economic Statistics 10 (1992) 3, pp. 251-70
Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. Here a variation of Perron's test is considered in which the break point is...