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UNIT ROOT TESTS WITH STRUCTURAL BREAKS

Structural breaks are shocks which are exogenous to the model but have a lasting effect. They can even be endogenous to the data generating process too. They mislead unit root tests to accept the null of unit root when in fact it is stationary. Ignorance of structural breaks can distort power of tests and lead to deceptive conclusions. In real world, structural breaks can be caused by many factors, including changes in policy regime or important worldwide events, e.g., the Great Depression, World War II, oil price shock, Covid19. 

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                         The dropbox folder contains exercises, research papers and industry cases

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                                                                               Download here. Download here.

            

                 

                I have a blog titled review of different softwre packages. 

Module 0:  An Introduction to Breaking Test in Univariate Models

Module 0:  Table of Structural Breaks on Unit Root Tests 

Module 1:  One Exogenous Structural Breaks on Unit Root Tests

Module 2:  One Endogenous Structural Breaks on Unit Root Tests

Module 3:  Two Endogenous Structural Breaks on Unit Root Tests

Module 4:  One Endogenous Structural Breaks on Unit Root Tests

Module 5:  Two Endogenous Structural Breaks on Unit Root Tests

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