Survey on structural breaks and unit root tests

Anton Skrobotov ()

Applied Econometrics, 2020, vol. 58, 96-141

Abstract: his review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.

Keywords: unit root testing; structural breaks; stationarity testing; non-stationary volatility; robust methods. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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