JEONG, SOO-BIN; KIM, BONG-HWAN; KIM, TAE-HWAN; MOON, … - Economic Research Institute, College of Business and … - 2014
Spurious rejections of the standard Dickey-Fuller (DF) test caused by a single variance break have been reported and some solutions to correct the problem have been proposed in the literature. Kim et al. (2002) put forward a correctly-sized unit root test robust to a single variance break,...