Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered
在允许原假设和备择假设下均存在结构突变的情况下，重新检验了Nelson和Plosser的13个美国宏观经济时间序列，发现没有任何序列能强烈拒绝单位根假说，完善了此前研究的结论。
Nelson and Plosser (1982), in a classic paper, failed to find strong evidence against the null hypothesis of a generating process with a unit autoregressive root for thirteen US macroeconomic time series. Perron (1989) claimed that such evidence was available for a majority of these series if the alternative hypothesis was of trend stationarity with a break in 1929. Zivot and Andrews (1992) treated the break date as endogenous, then finding strong evidence agcainst the null for a minority of these series. Our own analysis extends theirs by permitting a break under the null as well as the alternative hypothesis, and allowing for the sequential nature of the testing. Our empirical findings complete the circle. We find no strong evidence against the unit root hypothesis for any of the thirteen Nelson–Plosser series.