Kejriwal, Mohitosh; Perron, Pierre; Zhou, Jing - In: Econometric Theory 29 (2013) 02, pp. 289-323
This paper considers the problem of testing for multiple structural changes in the persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis that the process has an autoregressive unit root throughout the sample against the alternative hypothesis that the process...