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A Test of M Structural Breaks Under the Unit Root Hypothesis

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  • George Kapetanios

Abstract

In this paper we provide tests for the unit root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller than the maximum allowed number of breaks m in univariate time series models. The advocated procedure is computationally efficient and less intensive than those previously suggested in the literature. We further provide critical values for the test and apply the new test to the Nelson and Plosser macroeconomic series.

Suggested Citation

  • George Kapetanios, 1999. "A Test of M Structural Breaks Under the Unit Root Hypothesis," National Institute of Economic and Social Research (NIESR) Discussion Papers 152, National Institute of Economic and Social Research.
    • Handle: RePEc:nsr:niesrd:152
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    Cited by:

    1. Zeynel Abidin Ozdemir, 2008. "Efficient market hypothesis: evidence from a small open-economy," Applied Economics, Taylor & Francis Journals, vol. 40(5), pages 633-641.
    2. Nowak-Lehmann D., Felicitas, 2003. "Trade Policy and its Impact On Economic Growth: The Chilean Experience in the Period of 1960 to 1998," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).
    3. Fouquau, Julien & Spieser, Philippe K., 2015. "Statistical evidence about LIBOR manipulation: A “Sherlock Holmes” investigation," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 632-643.
    4. Felicitas Nowak-Lehmann D. & Dierk Herzer & Sebastian Vollmer & Inmaculada Martínez-Zarzoso, 2006. "Chile´s Market Share in the EU Market: The Role of Price Competition in a Panel Analysis Setting," Ibero America Institute for Econ. Research (IAI) Discussion Papers 139, Ibero-America Institute for Economic Research.

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