I have a time series $X_t$ (shown below) with a structure break. The stationary test
kpss.test() says it has a unit root. How to explain this? Why does $X_t$ have a unit root? Sure it is not constant in mean, so it is non-stationary. But I can not relate its non-stationarity to the concept of unit-root.
The $p$-value of the test is 0.01, so we reject the null hypothesis of a stationary process.
For example, a random walk has a unit root but it is constant in mean. So any relationship between unit root and constant-in-mean? Any comments about this?