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Unit roots and structural breaks : a survey of the literature

Byrne, Joseph P. and Perman, Roger (2006) Unit roots and structural breaks : a survey of the literature. Working paper. Glasgow University, United Kingdom.

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Abstract

Since Perron (1989) the time series literature has emphasised the importance of testing for structural breaks in typical economic data sets and pronounced the implications of structural breaks when testing for unit root processes. In this paper we survey recent developments in testing for unit roots taking account of possible structural breaks. In doing so we discuss the distinction between taking structural break dates as exogenously determined, an approach initially adopted in the literature, and endogenously testing break dates. That is, we differentiate between testing for breaks when the break date is known and when it is assumed to be unknown. Also important is the distinction between discrete breaks and gradual breaks. Additionally we describe tests for both single and multiple breaks and discuss some of the pitfalls of the latter.

Item type: Monograph (Working paper)
ID code: 8745
Notes: Also published in: Cointegration for the Applied Economist (2007), 2nd Ed, ISBN 9781403996145. (This is a variant record)
Keywords: unit root, structural breaks, endogenous breaks, gradual breaks, multiple breaks, Commerce
Subjects: Social Sciences > Commerce
Department: Strathclyde Business School > Economics
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Depositing user: Strathprints Administrator
Date Deposited: 18 Jan 2010 14:33
Last modified: 13 Sep 2012 15:17
URI: http://strathprints.strath.ac.uk/id/eprint/8745

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