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...