Zivot, Eric; Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1990
-mining. The asymptotic distribution of the "estimated break point" test statistic is determined. The data series considered by … Perron are reanalyzed using this test statistic. The empirical results make use of the asymptotics developed for the test … statistic as well as extensive finite sample corrections obtained by simulation. The effect on the empirical results of fat …