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GLS Detrending, Efficient Unit Root Tests and Structural Change
(Université de Montréal. Département de sciences économiques., 1998)
We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the ...