Kim, Tae-Hwan; Leybourne, Stephen J.; Newbold, Paul - University <Nottingham> / Department of Economics
It is known that Dickey-Fuller tests can lead to spurious rejections of the unit root nullhypothesis when the true generating process is difference-stationary with a break.Suppose now that an unsuccessful attempt is made to allow for a break, either throughmisplaced dummy variables or through...