This review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.

Original languageEnglish
Pages (from-to)96-141
Number of pages46
JournalApplied Econometrics
Volume58
DOIs
StatePublished - 2020

    Research areas

  • Non-stationary volatility, Robust methods, Stationarity testing, Structural breaks, Unit root testing

    Scopus subject areas

  • Economics and Econometrics

ID: 92711696