Tests for stationarity in series with endogenously determined structural change

We consider tests of null hypothesis of stationarity against a unit root alternative when the series is subject to structural change at an unknown point in time. Three extant test are reviewed which allow for an endogenously determined instantaneous structural break, and a related fourth procedure i...

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Bibliographic Details
Main Authors: David I. Harvey, Terence Mills
Format: Default Preprint
Published: 2002
Subjects:
Other economics not elsewhere classified
stationarity tests
unit roots
structural breaks
smooth transitions
Economics
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/358
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