TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
研究了非平稳波动对趋势断裂估计量和单位根检验的影响，发现检验统计量在非平稳波动下不再具有枢轴性，并提出了基于野自助法的解决方案。
We analyze the impact of nonstationary volatility on the break fraction estimator and associated trend break unit root tests of Harris, Harvey, Leybourne, and Taylor (2009) (HHLT). We show that although HHLT’s break fraction estimator retains the same large-sample properties as demonstrated by HHLT for homoskedastic shocks, the limiting null distributions of unit root statistics based around this estimator are not pivotal under nonstationary volatility. A solution to the identified inference problem, which does not require the practitioner to specify a parametric model for volatility, is provided using the wild bootstrap and is shown to perform well in practice.