Unit root testing under a local break in trend using partial information on the break date*

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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...

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Bibliographic Details
Main Authors:	Harvey, David I., Leybourne, Stephen J., Robert Taylor, A.M.
Format:	Article
Published:	Wiley 2014
Subjects:	Unit root test; Breaks in trend; Minimum Dickey-Fuller test; Local GLS detrending; Union of rejections
Online Access:	https://eprints.nottingham.ac.uk/32660/

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