GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES

Josep Lluís Carrion-i-Silvestre (), Dukpa Kim and Pierre Perron ()

Econometric Theory, 2009, vol. 25, issue 06, pages 1754-1792

Abstract: Perron (1989, Econometrica 57, 1361 270), assumed that if a break occurs it does so only under the alternative hypothesis of stationarity. This is undesirable for several reasons. Kim and Perron (2009, Journal of Econometrics 148, 1 generalized least squares detrending method advocated by Elliott, Rothenberg, and Stock (1996, Econometrica 64, 813 1554).

Date: 2009

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