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A test of m structural breaks under the unitroot hypothesis

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  • George Kapetanios

Abstract

In this paper we provide tests for the unit root hypothesis against the occurence of an unspecied number of breaks which may be larger than 2 but smaller that the maximum allowed number of breaks, m, in univariate time series models. The advocated procedure is considerably less computationally intensive than those previously suggested in the literature. We provide critical values for the test, examine its small sample properties through Monte Carlo experiments and apply the new test to the Nelson and Plosser macroeconomic series.

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Bibliographic Info

Paper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 152.

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Date of creation: Sep 1999
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Handle: RePEc:nsr:niesrd:152

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Cited by:
  1. Nowak-Lehmann D., Felicitas, 2003. "Trade Policy and its Impact On Economic Growth: The Chilean Experience in the Period of 1960 to 1998," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).

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