Abstract
The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become a topic of great concern. This issue gained further momentum with Perron¿s 1989 paper which emphasized the importance of structural breaks when testing for unit root processes.This paper reviews the available literature on unit root tests taking into account possible structural breaks. An important distinction between testing for breaks when the break date is known or exogenous and when the break date is endogenously determined is explained. We also describe tests for both single and multiple breaks. Additionally, the paper provides a survey of the empirical studies and an application in order for readers to be able to grasp the underlying problems that time series with structural breaks ar ...
The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become a topic of great concern. This issue gained further momentum with Perron¿s 1989 paper which emphasized the importance of structural breaks when testing for unit root processes.This paper reviews the available literature on unit root tests taking into account possible structural breaks. An important distinction between testing for breaks when the break date is known or exogenous and when the break date is endogenously determined is explained. We also describe tests for both single and multiple breaks. Additionally, the paper provides a survey of the empirical studies and an application in order for readers to be able to grasp the underlying problems that time series with structural breaks are currently facing.------------------------------------El tema de las raíces unitarias en series temporales macroeconómicas ha recibido gran atención, tanto desde el punto de vista teórico como de investigación aplicada, en las últimas tres décadas. Desde el trabajo clave de Nelson y Plosser (1982), contrastar la presencia de una raíz en datos temporales ha llegado a ser un asunto de gran interés. Esta cuestión ganó incluso preponderancia con el artículo de Perron de 1989, que destaca la importancia de los cambios estructurales al contrastar procesos de raíces unitarias.Este trabajo revisa la literatura disponible sobre contrastes de raíces unitarias, teniendo en cuenta los posibles cambios estructurales. Se explica la diferencia entre contrastar cambios cuando la fecha del cambio es conocida (o exógena) y cuando el cambio es determinado endógenamente. También describimos contrastes tanto para cambios simples como para cambios múltiples. Además, el artículo revisa los estudios empíricos y da una aplicación para que los lectores puedan comprender los problemas subyacentes que se están afrontando en el estudio de las series temporales con cambios estructurales.
