A Nonlinear Unit Root Test in the Presence of an Unknown Break

The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in coefficient. Taking account of the nonlinearity leads to a test with properties that are exclusively assigned to Schmidt-Phillips LM-type unit root tests.

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Year of publication:	2008-05
Authors:	Popp, Stephan
Institutions:	Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Subject:	Unit root tests \| nonlinear regression \| structural breaks \| innovational outliers

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Extent:	application/pdf
Series:	Ruhr Economic Papers. - ISSN 1864-4872.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0045 26 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005548383