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 be corrected through a simple modification of the test procedure. Copyright 2001 by Blackwell Publishing Ltd
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Volume (Year): 63 (2001) Issue (Month): 5 (December) Pages: 559-75 Download reference. The following formats are available: HTML
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