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Survey on structural breaks and unit root tests

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  • Skrobotov, Anton

    (RANEPA, Moscow; SPBU, Saint Petersburg, Russian Federation)

Abstract

his review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.

Suggested Citation

  • Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    • Handle: RePEc:ris:apltrx:0396
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    6. Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011. "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 27(5), pages 957-991, October.
    7. Nuno Sobreira & Luis C. Nunes & Paulo M. M. Rodrigues, 2014. "Characterizing Economic Growth Paths Based On New Structural Change Tests," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 845-861, April.
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    More about this item

    Keywords

    unit root testing; structural breaks; stationarity testing; non-stationary volatility; robust methods.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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