Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time*
扩展了已知断点时间下考虑水平位移的单位根检验，使其适用于断点未知的情况，并通过蒙特卡洛实验比较不同断点估计量，给出小样本选择建议。
Abstract Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under the known break date assumption. Different estimators of the break date are compared in a Monte Carlo experiment and a recommendation for choosing the break date in small samples is given. Example series from the Nelson–Plosser data set are used to illustrate the performance of our tests.