Nonlinearly testing for a unit root in the presence of a break in the mean

Konstantin Gluschenko ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper deals with testing a time series with a structural break in its mean for a unit root when the break date is known. A nonlinear (with respect to coefficients) test equation is used, providing asymptotically efficient estimates. Finite-sample and quasi-asymptotic empirical distributions of the unit root test statistics are estimated, comparing them with those associated with the Perron-type equations. Asymptotic distributions of the nonlinear test statistics are found to be the Dickey-Fuller distributions. The nonlinear test proves to have more power than the test based on the linear model.

Keywords: structural break; nonlinear regression; nonstandard distribution (search for similar items in EconPapers)
JEL-codes: C22 C16 C15 C12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2004-08, Revised 2005-09
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:678

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