Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
In a recent paper, Harvey et al. (2013) [HLT] propose a new unit root test that allows for the possibility of multiple breaks in trend. Their proposed test is based on the infimum of the sequence (across all candidate break points) of local GLS detrended augmented Dickey-Fuller-type statistics. HLT...
| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Wiley
2015
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32659/ |