Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
AbstractTests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989) we observe that our results might be consistent with them when testing the nulls of trendstationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in this context of structural breaks at a known period of time. --
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Bibliographic InfoPaper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2000,13.
Date of creation: 2000
Date of revision:
unit roots; long memory; structural breaks;
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