Testing for Unit Roots in Models with Structural Change
- 1 August 1994
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 10 (5), 917-936
- https://doi.org/10.1017/s0266466600008926
Abstract
This paper considers the unit root tests in models with structural change. Particular attention is given to their dependency on the limiting ratios of the subsample sizes between breaks. The dependency is analyzed in detail, and the invariant testing procedure based on a transformed model is developed. The required transformation is essentially identical to the generalized least-squares correction for heteroskedasticity. The limiting distributions of the new tests do not depend on the relative sizes of the subsamples and are shown to be simple mixtures of the limiting distributions of the corresponding tests from the independent unit root models without structural change.Keywords
This publication has 2 references indexed in Scilit:
- Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root HypothesisJournal of Business & Economic Statistics, 1992
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979