Abstract
This special issue deals with problems related to unit roots and structural change, and the interplay between the two.[...]
Highlights
This special issue deals with problems related to unit roots and structural change, and the interplay between the two
Vogelsang consider testing for structural change when serial correlation may be present in the errors of the regression, in which case a common practice is to use a heteroscedasticity and autocorrelation robust Wald test
Ricardo Quineche and Gabriel Rodríguez provide interesting further finite sample simulation results about the tests proposed by Perron and Rodriguez (2003), who extended the work of Perron (1989, 1997), Zivot and Andrews (1992), and Vogelsang and Perron (1998), among others. They show that the MGLS versions suggested by Ng and Perron (2001) suffer from severe size distortions when using the so-called “infimum method” to select the break date and common methods to select the autoregressive lag order
Summary
This special issue deals with problems related to unit roots and structural change, and the interplay between the two. Vogelsang consider testing for structural change when serial correlation may be present in the errors of the regression, in which case a common practice is to use a heteroscedasticity and autocorrelation robust Wald test.
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