Break Point Estimation and Spurious Rejections With Endogenous Unit Root Tests
检验了Zivot和Andrews（1992）以及Perron（1997）的内生断点单位根检验在估计断点时的准确性，发现这些检验倾向于将断点错误地估计在真实断点之前一期，导致持久性参数估计偏差和虚假拒绝，且断点幅度越大问题越严重。
This paper examines the accuracy of break point estimation using the endogenous break unit root tests of Zivot and Andrews (1992) and Perron (1997). We find that these tests tend to identify the break point incorrectly at one‐period behind ( T B ‐1) the true break point ( T B ), where bias in estimating the persistence parameter and spurious rejections are the greatest. In addition, this outcome occurs under the null and alternative hypotheses, and more so as the magnitude of the break increases. Consequences of utilizing these endogenous break tests are similar to (incorrectly) omitting the break term B t in Perron's (1989) exogenous test.