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Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks

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Author Info
George Kapetanios () (Queen Mary, University of London)

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Abstract

In this paper we provide tests for the unit root hypothesis against the occurence of an unspecified 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 widely used 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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Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 469.

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Date of creation: Nov 2002
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Handle: RePEc:qmw:qmwecw:wp469

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Related research
Keywords: Unit root Structural break

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models

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  1. Dierk Herzer, 2005. "Does Trade Increase Total Factor Productivity: Cointegration Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers 115, Ibero-America Institute for Economic Research. [Downloadable!]
  2. Herzer, Dierk & Nowak-Lehmann D., Felicitas & Siliverstovs, Boriss, 2005. "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Proceedings of the German Development Economics Conference, Kiel 2005 20, Verein für Socialpolitik, Research Committee Development Economics. [Downloadable!]
    Other versions:
  3. BATTISTI,Michele, 2006. "Assessing persistence in the Italian rate of unemployment in presence of structural breaks and regional asymmetries, 1977 to 2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
  4. Gillman, Max & Nakov, Anton, 2008. "Monetary Effects on Oil and Gold Prices," Cardiff Economics Working Papers E2008/15, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
  5. Dierk Herzer & Felicitas Nowak-Lehnmann D., 2006. "What does export diversification do for growth? An econometric analysis," Applied Economics, Taylor and Francis Journals, vol. 38(15), pages 1825-1838, August. [Downloadable!] (restricted)
  6. Dierk Herzer, 2005. "Trade composition and total factor productivity: Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers 116, Ibero-America Institute for Economic Research. [Downloadable!]
  7. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 43-58, March. [Downloadable!] (restricted)
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