Unit Roots and Structural Breaks

Dear Colleagues,

This Special Issue deals with problems related to unit roots and structural change, especially the interplay between the two. Possible topics include, but are not limited to: testing for a unit root allowing for changes in the trend function, testing for structural changes allowing the noise to be integrated or stationary, improvements of and/or analysis of existing leading unit root procedures; testing for cointegration allowing breaks in the trend function, testing for co-trending among processes with a non-linear (e.g., broken) trend, the problem of non-monotonic power of some classes of structural change tests including possible solutions, tests for change in persistence (e.g., I(1) versus I(0) or I(1) versus explosive), how neglected structural changes affect common inference problems, structural change versus fractional integration.

The issues mentioned above have proved to be of importance to devise procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements and analyses of the properties of existing procedures. The aim is to provide contributions that follow up on what has been done and/or offer new perspectives on such issues and related ones.

Prof. Dr. Pierre Perron
Guest Editor

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