TY  - JOUR
AU  - Banerjee,Anindya
AU  - Lumsdaine,Robin L.
AU  - Stock,James H.
TI  - Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3510
PY  - 1990
Y2  - November 1990
UR  - http://www.nber.org/papers/w3510
L1  - http://www.nber.org/papers/w3510.pdf
N1  - Author contact info:
Anindya Banerjee
E-Mail: a.banerjee@bham.ac.uk

Robin L. Lumsdaine
Kogod School of Business
American University
4400 Massachusetts Avenue NW
Washington, DC 20016
Tel: 202/885-1964
E-Mail: robin.lumsdaine@american.edu

James H. Stock
Department of Economics
Harvard University
Littauer Center M27
Cambridge, MA 02138
Tel: 617/496-0502
Fax: 617/495-7730
E-Mail: James_Stock@harvard.edu
AB  - This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. The recursive and rolling tests are based on a time series of recursively estimated coefficients, computed using increasing subsamples of the data. The sequential statistics are computed using the full data set and a sequence of regressors indexed by a "break" date. When applied to data on real postwar output from seven DECO countries, these techniques fail to reject the unit root hypothesis for five countries (including the U.S.), but suggest stationarity around a shifted trend for Japan.
ER  -