No. 469: Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks
George Kapetanios ,
Queen Mary, University of London
November 1, 2002
In this paper we provide tests for the unit root hypothesis against the occurence of an unspecified number of breaks which may be larger than 2 but smaller that the maximum allowed number of breaks, 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, examine its small sample properties through Monte Carlo experiments and apply the new test to the Nelson and Plosser macroeconomic series.
J.E.L classification codes: C13, C15, C32
Keywords:Unit root, Structural break