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<https://discovery.ucl.ac.uk/id/eprint/18280> <http://purl.org/ontology/bibo/abstract> "A new parameters’ encompassing test is proposed for deciding between the deterministic unit root processes with a structural break and the bilinear unit root model without such break. The test consists in testing three\r\nsets of hypotheses regarding parameters in a simple regression model. The test uses the t-ratio and F-statistics, of non-trivial distributions under the null\r\nhypothesis. The finite sample distributions for the relevant statistics are tabulated and the asymptotic distribution of the F-test is derived. The test has\r\nbeen applied for the daily stock price indices for 66 countries, for the period 1992-2001. The results support the conjecture that the bilinear model dominates the structural break model more often than the other way around. Also, it is likely that in practical applications the bilinear unit root process might be mistaken for the deterministic unit root process with a structural break."^^<http://www.w3.org/2001/XMLSchema#string> .
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