Testing for Unit Roots in Models with Structural Change
AbstractThis paper considers the unit root tests in models with structural change. Particular attention is given to their dependency on the limiting ratios of the subsample sizes between breaks. The dependency is analyzed in detail, and the invariant testing procedure based on a transformed model is developed. The required transformation is essentially identical to the generalized least-squares correction for heteroskedasticity. The limiting distributions of the new tests do not depend on the relative sizes of the subsamples and are shown to be simple mixtures of the limiting distributions of the corresponding tests from the independent unit root models without structural change.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 10 (1994)
Issue (Month): 05 (December)
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