Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. … - Granger Centre for Time Series Econometrics, School of … - 2011
employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary … again. In response to this problem we propose two practical solutions, based either on the use of a with-break unit root … test but with adaptive critical values, or on a union of rejections principle taken across with-break and without break …