A Test of M Structural Breaks Under the Unit Root Hypothesis

George Kapetanios

No 152, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: In this paper we provide tests for the unit root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller than the maximum allowed number of breaks m in univariate time series models. The advocated procedure is computationally efficient and less intensive than those previously suggested in the literature. We further provide critical values for the test and apply the new test to the Nelson and Plosser macroeconomic series.

Date: 1999-08
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Persistent link: https://EconPapers.repec.org/RePEc:nsr:niesrd:152

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