Innovational Outlier Unit Root Tests With an Endogenously Determined Break in Level

• 1 December 2001
• journal article
• Published by Wiley in Oxford Bulletin of Economics and Statistics
• Vol. 63  (5) , 559-575
• https://doi.org/10.1111/1468-0084.00235

Abstract

Keywords

• PROCEDURE
• UNIT ROOT
• BREAK
• NULL
• SPURIOUS
• ROOT TESTS
• ENDOGENOUSLY
• INNOVATIONAL OUTLIER