Lanne, Markku; Lutkepohl, Helmut; Saikkonen, Pentti - In: Oxford Bulletin of Economics and Statistics 65 (2003) 1, pp. 91-115
Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...
