New innovational outlier unit root test with a break at an unknown time

References

• Perron , P. 1989 . The Great Crash, the oil price shock, and the unit root hypothesis . Econometrica , 57 : 1361 – 1401 .
   Web of Science ®Google Scholar
• Zivot , E. and Andrews , D. 1992 . Further evidence on the Great Crash, the oil-price shock, and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 270 .
   Web of Science ®Google Scholar
• Banerjee , A. , Lumsdaine , R. and Stock , J. 1992 . Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence . Journal of Business and Economic Statistics , 10 : 271 – 287 .
   Web of Science ®Google Scholar
• Perron , P. 1997 . Further evidence on breaking trend functions in macroeconomic variables . Journal of Econometrics , 80 : 355 – 385 .
   Web of Science ®Google Scholar
• Lanne , M. , Lütkepohl , H. and Saikkonen , P. 2003 . Test procedure for unit roots in time series with level shift at unknown time . Oxford Bulletin of Economics and Statistics , 65 : 91 – 115 .
   Web of Science ®Google Scholar
• Nunes , L. , Newbold , P. and Kuan , C. 1997 . Testing for unit roots with breaks: evidence on the Great Crash and the unit root hypothesis reconsidered . Oxford Bulletin of Economics and Statistics , 59 : 435 – 448 .
   Web of Science ®Google Scholar
• Harvey , D. , Leybourne , S. and Newbold , P. 2001 . Innovational outlier unit root tests with an endogenously determined break in level . Oxford Bulletin of Economics and Statistics , 63 : 559 – 575 .
   Web of Science ®Google Scholar
• Lee , J. and Strazicich , M. 2001 . Break point estimation and spurious rejections with endogenous unit root tests . Oxford Bulletin of Economics and Statistics , 63 : 535 – 558 .
   Web of Science ®Google Scholar
• Vogelsang , T. and Perron , P. 1998 . Additional tests for a unit root allowing for a break in the trend function at an unknown time . International Economic Review , 39 : 1073 – 1100 .
   Web of Science ®Google Scholar
• Perron , P. and Vogelsang , T. 1992 . Nonstationarity and level shifts with an application to purchasing power parity . Journal of Business and Economic Statistics , 10 : 301 – 320 .
   Web of Science ®Google Scholar
• Christiano , L. 1992 . Searching for a break in GNP . Journal of Business and Economic Statistics , 10 : 237 – 250 .
   Web of Science ®Google Scholar
• Schmidt , P. and Phillips , P. 1992 . LM tests for a unit root in the presence of deterministic trends . Oxford Bulletin of Economics and Statistics , 54 : 257 – 287 .
   Web of Science ®Google Scholar
• Carrion-i Silvestre , J. , Sanso-i Rossello , A. and Artis Ortuno , M. 1999 . Response surface estimates for the Dickey–Fuller unit root test with structural breaks . Economics Letters , 63 : 279 – 283 .
   Web of Science ®Google Scholar
• Cheung , Y. and Lai , K. 1995 . Lag order and critical values of the augmented Dickey–Fuller test . Journal of Business and Economic Statistics , 13 : 277 – 280 .
   Web of Science ®Google Scholar
• Nelson , C. R. and Plosser , C. I. 1982 . Trends and random walks in macroeconomic times series . Journal of Monetary Economics , 10 : 139 – 162 .
   Web of Science ®Google Scholar
• Lumsdaine , R. and Papell , D. 1997 . Multiple trend break and the unit-root hypothesis . The Review of Economics and Statistics , 79 : 212 – 218 .
   Web of Science ®Google Scholar
• Maddala , G. and Kim , I. 1998 . Unit Roots, Cointegration, and Structural Change , Cambridge : Cambridge University Press .
   Google Scholar
• Assenmacher , W. 2003 . Einführung in die Ökonometrie , Oldenbourg : München .
   Google Scholar
• Perron , P. 1994 . “ Trend, unit root and structural change in macroeconomic time series ” . In Cointegration for the Applied Economist , Edited by: Rao , B. 113 – 146 . Basingstoke : Macmillan .
   Google Scholar