Liu, Hui; Rodríguez, Gabriel - In: Econometrics Journal 9 (2006) 2, pp. 225-251
Following Elliott (1999; International Economic Review 40, 767--83.) and Perron and Rodríguez (2003; Journal of Econometrics 115,1--27), we develop unit root tests in the context of structural change models using GLS detrended data ( Elliott, Rothenberg and Stock 1996; Econometrica 64, 813--39) when the...