2005-09-16Buch DOI: 10.18452/3335
Testing of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks
Gil-Alaña, Luis A.
Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser’s (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989) we observe that our results might be consistent with them when testing the nulls of trendstationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in this context of structural breaks at a known period of time
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