On the end-point issue in unit root tests in the presence of a structural break
Abbreviated Journal Title
end point; unit root test; structural break; Economics
This paper shows that the spurious rejection problem illustrated by Leybourne et al. (1998) [Leybourne, S.J., Mills, T., Newbold, P., 1998. Spurious rejections by Dickey-Fuller tests in the presence of a break under the null. Journal of Econometrics 87, 191-203] is restricted to the DF type test, which is based on the conditional likelihood function discarding the first observation. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C12; C15; C22.
"On the end-point issue in unit root tests in the presence of a structural break" (2000). Faculty Bibliography 2000s. 2665.