The KPSS test with two structural breaks
نویسندگان
چکیده
In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in nite samples. Keywords: Stationary tests, structural breaks, unit root JEL classi cation: C12, C15, C22
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