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1、UniversityofWollongongResearchOnlineFacultyofCommerce-PapersFacultyofCommerce2007UnitRootTestsandStructuralBreaks:ASurveywithApplicationsJ.GlynnUniversityofWollongong,jglynn@uow.edu.auN.PereraUniversityofWollongong,nelson_perera@uow.edu.auR.VermaUniversityofWol
2、longong,reetu@uow.edu.auPublicationDetailsThisarticlewasoriginallypublishedasGlynn,J,Perera,NandVerma,R,UnitRootTestsandStructuralBreaks:ASurveywithApplications,RevistadeMétodosCuantitativosparalaEconomíaylaEmpresa=JournalofQuantitativeMethodsforEconomicsandBus
3、inessAdministration,3(1),2007,63-79.Theoriginalarticleisavailablehere.ResearchOnlineistheopenaccessinstitutionalrepositoryfortheUniversityofWollongong.ForfurtherinformationcontactManagerRepositoryServices:morgan@uow.edu.au.UnitRootTestsandStructuralBreaks:ASurv
4、eywithApplicationsAbstractThethemeofunitrootsinmacroeconomictimeserieshavereceivedagreatamountofattentionintermsoftheoreticalandappliedresearchoverthelastthreedecades.SincetheseminalworkbyNelsonandPlosser(1982),testingforthepresenceofaunitrootinthetimeseriesdat
5、ahasbecomeatopicofgreatconcern.ThisissuegainedfurthermomentumwithPerron’s1989paperwhichemphasizedtheimportanceofstructuralbreakswhentestingforunitrootprocesses.Thispaperreviewstheavailableliteratureonunitrootteststakingintoaccountpossiblestructuralbreaks.Animpo
6、rtantdistinctionbetweentestingforbreakswhenthebreakdateisknownorexogenousandwhenthebreakdateisendogenouslydeterminedisexplained.Wealsodescribetestsforbothsingleandmultiplebreaks.Additionally,thepaperprovidesasurveyoftheempiricalstudiesandanapplicationinorderfor
7、readerstobeabletograsptheunderlyingproblemsthattimeserieswithstructuralbreaksarecurrentlyfacing.KeywordsUnitroot,StructuralBreaks,MultipleBreaksPublicationDetailsThisarticlewasoriginallypublishedasGlynn,J,Perera,NandVerma,R,UnitRootTestsandStructuralBreaks:ASur
8、veywithApplications,RevistadeMétodosCuantitativosparalaEconomíaylaEmpresa=JournalofQuantitativeMethodsforEconomicsandBusinessAdministration,3(1),2007,63-79.Theoriginalarticl
