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Monte Carlo simulations 1 US macroeconomic variables 1 break date estimation 1 multiple structural breaks 1 unit root test 1
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Narayan, Paresh Kumar 1 Popp, Stephan 1
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Journal of Applied Statistics 1
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A new unit root test with two structural breaks in level and slope at unknown time
Narayan, Paresh Kumar; Popp, Stephan - In: Journal of Applied Statistics 37 (2010) 9, pp. 1425-1438
In this paper, we propose a new augmented Dickey-Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The...
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