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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
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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.
The Review of Economics and Statistics © 1997 The MIT Press