Resumen de Innovational Outlier Unit Root Tests With an Endogenously Determined Break in Level

David I. Harvey, Stephen Leybourne, Paul Newbold

• We show that a standard unit root test that permits an endogenously determined break in level can generate spurious rejections in practically interesting sample sizes when a large break occurs under the null hypothesis. This problem, which occurs for breaks of the innovational outlier type, can be corrected through a simple modification of the test procedure.