Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks

U of London Queen Mary Economics Working Paper No. 469

20 Pages Posted: 15 Jan 2003

Date Written: November 2002

Abstract

In this paper we provide tests for the unit root hypothesis against the occurence of an unspecified number of breaks which may be larger than 2 but smaller that the maximum allowed number of breaks, m, in univariate time series models. The advocated procedure is considerably less computationally intensive than those widely used in the literature. We provide critical values for the test, examine its small sample properties through Monte Carlo experiments and apply the new test to the Nelson and Plosser macroeconomic series.

Keywords: Unit Root, Structural Break

JEL Classification: C13, C15, C32

Suggested Citation

Kapetanios, George, Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks (November 2002). U of London Queen Mary Economics Working Paper No. 469, Available at SSRN: https://ssrn.com/abstract=358322 or http://dx.doi.org/10.2139/ssrn.358322

George Kapetanios (Contact Author)

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

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