Bounds, Breaks and Unit Root Tests

Josep Carrion-i-Silvestre and María Gadea ()

Journal of Time Series Analysis, 2016, vol. 37, issue 2, 165-181

Abstract: type="main" xml:id="jtsa12140-abs-0001"> The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and position of the structural breaks. The performance of the statistics is investigated by means of Monte Carlo simulations.

Date: 2016
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