AN LM TEST FOR A UNIT-ROOT IN THE PRESENCE OF A STRUCTURAL-CHANGE

被引:147
作者
AMSLER, C [1 ]
LEE, JS [1 ]
机构
[1] VANDERBILT UNIV,NASHVILLE,TN 37240
关键词
D O I
10.1017/S026646660000921X
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this paper, we examine a suitably modified version of the unit root test proposed by Schmidt and Phillips (1992). A one-time structural break in the intercept does not affect its asymptotic distribution under the null hypothesis, and this is true whether the break is allowed for in the model or not. This implies that the asymptotic validity of this test statistic under the null is not affected by the incorrect placement of the structural break, by the allowance for a break when there is no break, or by no allowance for a break when there is a break.
引用
收藏
页码:359 / 368
页数:10
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