The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
检验时间序列存在单位根的零假设，允许趋势函数有一次性的水平或斜率变化，发现若真实机制是围绕含断点的趋势函数平稳波动，则标准检验无法拒绝单位根假说。
We consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is «trend-stationary». The interest is that we allow under both the null and alternative hypotheses for the presence for a one-time change in the level or in the slope of the trend function. We show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break