Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level
We show that a standard unit root test that permits an endogenously determined break in level can generate spurious rejections in practically interesting sample sizes when a large break occurs under the null hypothesis. This problem, which occurs for breaks of the innovational outlier type, can be corrected through a simple modification of the test procedure. Copyright 2001 by Blackwell Publishing Ltd
Volume (Year): 63 (2001)
Issue (Month): 5 (December)
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