Spurious Rejections by Perron Tests in the Presence of a Break
研究Perron检验在断点日期选择错误时的表现，发现忽略较早的断点或真实断点出现在假定日期之后，都会导致单位根原假设被虚假拒绝。
In this paper, we concentrate on the case of an exogeneously chosen break date, but entertain the possibility that an incorrect choice is made. In fact, the Perron test statistics considered are invariant to any break in the generating process at the assumed break date. Our results therefore apply equally to the case of a generating process with two breaks, only one of which is specifically accounted for in the analysis. As in Leybourne et al . (1998), we find that a neglected relatively early break can lead to spurious rejections of the unit root null hypothesis. Moreover, for all but one of the tests analyzed, spurious rejections now also arise if a true break occurs relatively soon after the assumed break date.