Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals
Title: Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals
Citation: Economics Letters, 2002, 75, 1, 109-114.
A number of unit root tests which accommodate a deterministic level shift at a known point in time are compared in a Monte Carlo study. The tests differ in the way they treat the deterministic term of the DGP. It turns out that tests which estimate the deterministic term by a GLS procedure under the unit root null hypothesis are superior in terms of size and power properties relative to tests which estimate the deterministic term by OLS procedures.
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