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Title: A Note on Busetti-Harvey tests for stationarity in series with structural breaks
Authors: Harvey, David I.
Mills, Terence C.
Keywords: Unit roots
Endogenous breaks
Issue Date: 2001
Abstract: In this note we highlight a minor error in asymptotic distribution of one of the Busetti and Harvey (2001) tests for stationarity in the presence of structural breaks, and provide corrected asymptotic critical values where relevant. In addition, we examine the extent to which finite sample critical values for the Busetti-Harvey tests are approximated by their asymptotic counterparts when the location of the break is determined endogenously.
Description: Economics Research Paper, no.01-05
URI: https://dspace.lboro.ac.uk/2134/421
Appears in Collections:Working Papers (Economics)

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