Investigating the effects of structural breaks on unit root tests indicates new findings in stationary time series analysis.
This study investigates the stochastic properties of the Dickey-Fuller t-test and test for multiple structural breaks ( in level or slope ) in the trend function of a stationary time series.In the presence of H ( ) breaks in the series, the asymptotic analysis and Monte Carlo simulation indicate some common features of the tests that are consistent with previous studies and produce some new results as well.
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隆 松木 (2016) studied this question.
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