关键词: 结构突变, 单位根检验, 突变点, 残差平方和, 可行广义最小二乘估计

Abstract: For the unit root test of endogenous structural break, the determination method would influence the power of unit root test, and the results of different methods are not all the same in the process of estimating the break point. In the paper, above all we describe and evaluate the several common methods for determinate the break point and corresponding unit root test, and then, comparatively analyze the determination methods of break point based on the square sum of residual of different regression equations. The data generating process in this paper is different from the existing research, and estimating the break point according the FGLS procedure is firstly put forward. At last, discuss the power and actual size of unit root tests based on several different determination method of break point. The result reveals that the frequency of estimating break point correctly is the highest based on the minimizing the residual square sum of FGLS regression, and based on the estimated break point, the Perron test for the AO model have better power and little size distortion. 
 

Key words: Structural break, Unit root test, Break point, Square sum of residual, Feasible Generalized Least Squares Estimate