Over-Rejections By Weighted Symmetric Unit Root Tests In The Presence Of Multiple Structural Breaks

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

Minimum LM Unit Root Test with Two Structural Breaks

The two-break unit root test of Lumsdaine and Papell (1997) is examined and found to suffer from bias and spurious rejections in the presence of structural breaks under the null. A two-break minimum LM unit root test is proposed as a remedy. The two-break LM test does not suffer from bias and spurious rejections and is mostly invariant to the size, location, and misspecification of the breaks. ...

A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks

T his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christop...

Are incomes converging among OECD countries? Time series evidence with two structural breaks

Time series from fifteen OECD countries for the period 1870–1994 are examined to determine if per capita incomes are stochastically converging. To perform our tests, we utilize a minimum Lagrange multiplier unit root test that endogenously determines two structural breaks in level and trend. In contrast to other tests, our test is not subject to rejections of the null in the presence of a unit ...

Unit Root Tests and Structural Breaks: A Survey with Applications

The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become a topic of great concern. This issue gained further momentum with Perron’s 1989 paper which emphasiz...