In this paper, we consider tests for a break in the level of a series at an unknown point in time. It is often the case that uncertainty exists concerning the order of integration of the series; consequently, we focus on tests that are applicable when the order of integration is not known. The...

A desirable property of a forecast is that it encompasses competing predictions, in the sense that the accuracy of the preferred forecast cannot be improved through linear combination with a rival prediction. In this paper, we investigate the impact of the uncertainty associated with estimating...

We show that a standard unit root test that permits an endogenously determined break in level can generate spurious rejections in practically interesting sample sizes when a large break occurs under the null hypothesis. This problem, which occurs for breaks of the innovational outlier type, can...

C. R. Nelson and C. I. Plosser (1982), in a classic paper, failed to find strong evidence against the null hypothesis of a generating process with a unit autoregressive root for thirteen U.S. macroeconomic time series. P. Perron (1989) claimed that such evidence was available for a majority of...