Unit root testing under a local break in trend using partial information on the break date*
We consider unit root testing allowing for a break in trend when partial information is available regarding the location of the break date. This takes the form of knowledge of a relatively narrow window of data within which the break takes place, should it occur at all. For such circumstances, we su...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Wiley
2014
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32660/ |