On the end-point issue in unit root tests in the presence of a structural break

    Authors

    J. Lee

    Comments

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    Abbreviated Journal Title

    Econ. Lett.

    Keywords

    end point; unit root test; structural break; Economics

    Abstract

    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.

    Journal Title

    Economics Letters

    Volume

    68

    Issue/Number

    1

    Publication Date

    1-1-2000

    Document Type

    Article

    Language

    English

    First Page

    7

    Last Page

    11

    WOS Identifier

    WOS:000087537000002

    ISSN

    0165-1765

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