Testing the null of stationarity in the presence of a structural break

    Authors

    J. S. Lee;M. Strazicich

    Comments

    Authors: contact us about adding a copy of your work at STARS@ucf.edu

    Abbreviated Journal Title

    Appl. Econ. Lett.

    Keywords

    UNIT-ROOT; TIME-SERIES; HETEROSKEDASTICITY; HYPOTHESIS; Economics

    Abstract

    A test for stationarity in the presence of a structural break is proposed. An unknown break point is endogenously determined at the value minimizing the test statistic. The break point can be estimated reasonably well under the null hypothesis of stationarity, especially when the magnitude of the break is large.

    Journal Title

    Applied Economics Letters

    Volume

    8

    Issue/Number

    6

    Publication Date

    1-1-2001

    Document Type

    Article

    Language

    English

    First Page

    377

    Last Page

    382

    WOS Identifier

    WOS:000169351800005

    ISSN

    1350-4851

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