Unit roots and structural breaks: a survey of the literature

Byrne, J.P. and Perman, R.; Rao, B. Bhaskara, ed. (2007) Unit roots and structural breaks: a survey of the literature. In: Cointegration for the Applied Economist. Palgrave Macmillan, Basingstoke. ISBN 9781403996145

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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.

ORCID iDs

Byrne, J.P. and Perman, R. ORCID logoORCID: https://orcid.org/0000-0002-6862-7462; Rao, B. Bhaskara
  • Item type:Book Section
    ID code:15751
    Dates:
    Date
    Event
    24 August 2007
    Published
    Notes:Also available as a working paper: http://www.gla.ac.uk/media/media_22180_en.pdf
    Keywords:unit root, structural breaks, endogenous breaks, gradual breaks, multiple breaks, Economic Theory
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Mrs Kirsty Fontanella
    Date deposited:03 Mar 2010 20:26
    Last modified:04 May 2021 00:58
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/15751
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