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Unit‐root testing against the alternative hypothesis of up to m structural breaks
Author(s) -
Kapetanios George
Publication year - 2005
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2005.00393.x
Subject(s) - mathematics , univariate , unit root , monte carlo method , statistical hypothesis testing , statistics , series (stratigraphy) , sample size determination , root (linguistics) , econometrics , statistical physics , multivariate statistics , paleontology , linguistics , philosophy , physics , biology
. In this paper we provide tests for the unit‐root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller that the maximum number of breaks allowed, m , in univariate time‐series models. The advocated procedure is considerably less computationally intensive than those widely used in the literature. We provide critical values for the test and examine its small sample properties through Monte Carlo experiments.