(a) What issues arise when testing for a unit root if there is a structural break in...

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(a) What issues arise when testing for a unit root if there is a structural break in the series under investigation?

(b) What are the limitations of the Perron (1989) approach for dealing with structural breaks in testing for a unit root?

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Introductory Econometrics For Finance

ISBN: 9781108436823

4th Edition

Authors: Chris Brooks

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Question Posted: Jul 23, 2024 09:00 AM

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(a) What issues arise when testing for a unit root if there is a structural break in...

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Introductory Econometrics For Finance

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