Leybourne, Stephen; Kim, Tae-Hwan; Taylor, A.M. Robert - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 3, pp. 1370-1370
This paper considers the problem of testing for and dating changes (at unknown points) in the order of integration of a time series between different trend-stationary and difference-stationary regimes. While existing procedures in the literature are designed for processes displaying only a...