Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative

摘要

Structural breaks in the level as well as in the volatility have often been exhibited in economic time series. In this paper, we propose new unit root tests when a time series has multiple shifts in its level and the corresponding volatility. The proposed tests are Lagrangian multiplier type tests based on the residual's marginal likelihood which is free from the nuisance mean parameters. The limiting null distributions of the proposed tests are the chi(2)distributions, and are affected not by the size and the location of breaks but only by the number of breaks.