Over-rejections by the weighted symmetric unit root test in multiple structural breaks

Takashi Matsuki

Applied Economics Letters, 2007, vol. 14, issue 11, 833-837

Abstract: This study investigates the behaviour of the weighted symmetric unit root test (Pantula et al., 1994) when the data generating process has a unit root and multiple structural breaks in the level of its trend function. The results obtained from this study reveal that the test can be biased towards over-rejections of the unit root null hypothesis in large samples as well as small samples.

Date: 2007
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DOI: 10.1080/13504850600592705

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