Testing the null of stationarity in the presence of a structural break
A test for stationarity in the presence of a structural break is proposed. An unknown break point is endogenously determined at the value minimizing the test statistic. The break point can be estimated reasonably well under the null hypothesis of stationarity, especially when the magnitude of the break is large.
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Volume (Year): 8 (2001)
Issue (Month): 6 ()
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