Testing for Unit Roots in Models with Structural Change
研究了结构变化模型中的单位根检验，发现检验结果依赖于子样本大小比例，并提出了基于变换模型的不变检验方法，其极限分布不依赖于子样本相对大小。
This paper considers the unit root tests in models with structural change. Particular attention is given to their dependency on the limiting ratios of the subsample sizes between breaks. The dependency is analyzed in detail, and the invariant testing procedure based on a transformed model is developed. The required transformation is essentially identical to the generalized least-squares correction for heteroskedasticity. The limiting distributions of the new tests do not depend on the relative sizes of the subsamples and are shown to be simple mixtures of the limiting distributions of the corresponding tests from the independent unit root models without structural change.