Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Multiple Trend Breaks and the Unit-Root Hypothesis

Robin L. Lumsdaine and David H. Papell
The Review of Economics and Statistics
Vol. 79, No. 2 (May, 1997), pp. 212-218
Published by: The MIT Press
Stable URL: http://www.jstor.org/stable/2951453
Page Count: 7
  • Read Online (Free)
  • Download ($19.00)
  • Subscribe ($19.50)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Multiple Trend Breaks and the Unit-Root Hypothesis
Preview not available

Abstract

Ever since Nelson and Plosser (1982) found evidence in favor of the unit-root hypothesis for 13 long-term annual macro series, observed unit-root behavior has been equated with persistence in the economy. Perron (1989) questioned this interpretation, arguing instead that the "observed" behavior may indicate failure to account for structural change. Zivot and Andrews (1992) restored confidence in the unit-root hypothesis by incorporating an endogenous break point into the specification. By allowing for the possibility of two endogenous break points, we find more evidence against the unit-root hypothesis than Zivot and Andrews, but less than Perron.

Page Thumbnails

  • Thumbnail: Page 
212
    212
  • Thumbnail: Page 
213
    213
  • Thumbnail: Page 
214
    214
  • Thumbnail: Page 
215
    215
  • Thumbnail: Page 
216
    216
  • Thumbnail: Page 
217
    217
  • Thumbnail: Page 
218
    218