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
Authors:	Popp, Stephan
Publisher:	Essen : Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Subject:	Unit Root Test \| Regression \| Strukturbruch \| Nichtlineares Verfahren \| Theorie \| Unit root tests \| nonlinear regression \| structural breaks \| innovational outliers

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Series:	Ruhr Economic Papers ; 45
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-3-86788-046-6
Other identifiers:	571468462 [GVK] hdl:10419/26810 [Handle] RePEc:zbw:rwirep:45 [RePEc]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010264716