Innovational Outlier Unit Root Tests With an Endogenously Determined Break in Level
发现，当原假设下存在大突变时，允许内生确定水平突变的标准单位根检验会在实际样本量下产生虚假拒绝，并提出了一个简单的修正方法。
We show that a standard unit root test that permits an endogenously determined break in level can generate spurious rejections in practically interesting sample sizes when a large break occurs under the null hypothesis. This problem, which occurs for breaks of the innovational outlier type, can be corrected through a simple modification of the test procedure.