Nonparametric Unit Root Test and Structural Breaks

Jorge Belaire-Franch and Contreras Dulce
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Contreras Dulce: Universitat de València

Journal of Time Series Econometrics, 2011, vol. 3, issue 2, 14

Abstract: It is a well known fact that stationarity and unit roots tests are seriously distorted, when the true data generating process is stationary around a broken trend. In this paper, the behaviour of Breitung's (J. Econom. (2002) 343-363) variance ratio test for unit roots is analyzed. It is shown that the test may be inconsistent against stationary alternatives with structural breaks. In addition, a new test procedure to account for structural breaks is proposed.

Keywords: Breitung’s test; structural breaks (search for similar items in EconPapers)
Date: 2011
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DOI: 10.2202/1941-1928.1048

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