Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals
Economics Letters, 2002, 75, 1, 109-114.
LANNE, Markku, LUETKEPOHL, Helmut, Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals, Economics Letters, 2002, 75, 1, 109-114. - http://hdl.handle.net/1814/4437
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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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