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Testing the null of stationarity in the presence of a structural break

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  • Junsoo Lee
  • Mark Strazicich

Abstract

A test for stationarity in the presence of a structural break is proposed. An unknown break point is endogenously determined at the value minimizing the test statistic. The break point can be estimated reasonably well under the null hypothesis of stationarity, especially when the magnitude of the break is large.

Suggested Citation

  • Junsoo Lee & Mark Strazicich, 2001. "Testing the null of stationarity in the presence of a structural break," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 377-382.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:6:p:377-382
    DOI: 10.1080/135048501750237810
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    References listed on IDEAS

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