Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
研究了允许趋势在未知时间发生位移的单位根检验，重点分析了加性异常值方法，并给出了新极限分布，通过模拟评估了有限样本性质。
The authors consider unit root tests that allow a shift in trend at an unknown time. They focus on the additive outlier approach but also give results for the innovational outlier approach. Various methods of choosing the break date are considered. New limiting distributions are derived, including the case where a shift in trend occurs under the unit root null hypothesis. Limiting distributions are invariant to mean shifts but not to slope shifts. Simulations are used to assess finite sample size and power. The authors focus on the effects of a break under the null and the choice of break date. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.