Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time

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dc.contributor.authorLANNE, Markku
dc.contributor.authorLUETKEPOHL, Helmut
dc.contributor.authorSAIKKONEN, Pentti
dc.date.accessioned2005-01-06T11:10:10Z
dc.date.available2005-01-06T11:10:10Z
dc.date.created2003
dc.date.issued2003
dc.description.abstractTwo types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under the known break date assumption. Different estimators of the break date are compared in a Monte Carlo experiment and a recommendation for choosing the break date in small samples is given. Example series from the Nelson–Plosser data set are used to illustrate the performance of our tests.
dc.identifier.citationOxford Bulletin of Economics and Statistics, 2003, 65, 1, 91-115.
dc.identifier.endpage115
dc.identifier.startpage91
dc.identifier.urihttps://hdl.handle.net/1814/2118
dc.identifier.volume65
dc.language.isoen
dc.neeo.contributorLANNE|Markku|aut|
dc.neeo.contributorLUETKEPOHL|Helmut|aut|EUI70007
dc.neeo.contributorSAIKKONEN|Pentti|aut|
dc.relation.ispartofOxford Bulletin of Economics and Statistics
dc.titleTest Procedures for Unit Roots in Time Series with Level Shifts at Unknown Timeen
dc.typeArticle
dspace.entity.typePublication
person.identifier.other26106
relation.isAuthorOfPublication08f3e137-ee61-44b0-ab10-aca1e2bfdf96
relation.isAuthorOfPublication.latestForDiscovery08f3e137-ee61-44b0-ab10-aca1e2bfdf96
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