type="main" xml:lang="en" <title type="main">Abstract</title> <p>We consider unit root testing allowing for a break in trend when partial information is available regarding the location of the break date. This takes the form of knowledge of a relatively narrow window of data within which the break takes place, should it...</p>

In this paper, we consider tests for a break in the level of a series at an unknown point in time. It is often the case that uncertainty exists concerning the order of integration of the series; consequently, we focus on tests that are applicable when the order of integration is not known. The...

type="main" xml:id="obes12037-abs-0001" <title type="main">Abstract</title> <p>In this article, we consider estimating the timing of a break in level and/or trend when the order of integration and autocorrelation properties of the data are unknown. For stationary innovations, break point estimation is commonly performed by...</p>

A desirable property of a forecast is that it encompasses competing predictions, in the sense that the accuracy of the preferred forecast cannot be improved through linear combination with a rival prediction. In this paper, we investigate the impact of the uncertainty associated with estimating...

We consider tests of the null hypothesis of stationarity against a unit root alternative, when the series is subject to structural change at an unknown point in time. Three extant tests are reviewed which allow for an endogenously determined instantaneous structural break, and a related fourth...

We show that the minimal forward (reverse) recursive unit tests of Banerjee, Lumsdaine and Stock ["Journal of Business and Economics Statistics" (1992) Vol. 10, pp. 271-288] are consistent against the alternative of a change in persistence from "I"(0) to "I"(1) ["I"(1) to "I"(0)]. However, these...