Resource title

A nonlinear unit root test in the presence of an unknown break

Resource image

image for OpenScout resource :: A nonlinear unit root test in the presence of an unknown break

Resource description

The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in coefficient. Taking account of the nonlinearity leads to a test with properties that are exclusively assigned to Schmidt-Phillips LM-type unit root tests.

Resource author

Stephan Popp

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/26810

Resource license

Adapt according to the presented license agreement and reference the original author.