Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence
研究宏观经济时间序列是否可描述为围绕断裂趋势线的平稳过程，将断裂日期视为未知，开发了递归、滚动和序贯检验方法，并应用于七国战后产出数据，发现五国（含美国）无法拒绝单位根假设，但日本表现为围绕移位趋势的平稳性。
This article investigates the possibility, raised by Perron and by Rappoport and Reichlin, that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. The recursive and rolling tests are based on changing subsamples of the data. The sequential statistics are computed using the full data set and a sequence of regressors indexed by a "break" date. When applied to data on real postwar output from seven Organization for Economic Cooperation and Development countries, these techniques fail to reject the unit-root hypothesis for five countries (including the United States) but suggest stationarity around a shifted trend for Japan.