Bai, Jushan; Carrion-I-Silvestre, Josep Lluís - In: Review of Economic Studies 76 (2009) 2, pp. 471-501
This paper studies the problem of unit root testing in the presence of multiple structural changes and common dynamic factors. Structural breaks represent infrequent regime shifts, while dynamic factors capture common shocks underlying the comovement of economic time series. We examine the...
