Nonstationarity and Level Shifts With an Application to Purchasing Power Parity

摘要: This study considers testing for a unit root in time series characterized by structural change its mean. The analysis is the spirit of Perron (1990a), who showed that existence such shift stationary biases usual tests toward nonrejection. approach is, however, different given we suppose date to be unknown. statistic interest then minimal t over all possible breakpoints regressions similar those proposed (1990a). Other related statistics are also discussed. We derive and tabulate asymptotic distributions interest. Most emphasis, tabulation finite-sample critical values using simulation experiments. Particular attention effect, on values, various procedures select appropriate order estimated autoregressions. apply analyze issue purchasing power parity between ...