Zivot, Eric; Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1990
Recently Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. His analysis covers the Nelson-Plosser macroeconomic data series as...