Nelson, Charles R. (contributor); Zivot, Eric (contributor); … - 2001 - [Elektronische Ressource]
modifying the Augmented Dickey-Fuller test with dummy variables to account
for a single structural break. Christiano (1992 … break date
while Lumsdaine and Papell (1997) consider a test robust to two structural breaks. Hereafter we
will refer to ….1
1
−=µ , )4.0 ,0(~
2
N
ε
σ , and
1)( =Lφ . For each unit root test 1000 Monte Carlo simulations were performed with two …