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

11 Pages Posted: 6 Jan 2005

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 number of breaks allowed, 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 and examine its small sample properties through Monte Carlo experiments.

Keywords: Unit root, structural break

JEL Classification: C13, C15, C32

Suggested Citation

Kapetanios, George, Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks. Available at SSRN: https://ssrn.com/abstract=643908

George Kapetanios (Contact Author)

King's College, London ( email )

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

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