Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics

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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...

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Bibliographic Details
Main Authors:	Cavaliere, Giuseppe, Harvey, David I., Leybourne, Stephen J., Robert Taylor, A.M.
Format:	Article
Published:	Wiley 2015
Subjects:	Infimum unit root test; multiple trend break; non-stationary volatility; wild bootstrap
Online Access:	https://eprints.nottingham.ac.uk/32659/

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