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dc.contributor.authorLANNE, Markku
dc.contributor.authorLUETKEPOHL, Helmut
dc.date.accessioned2006-05-26T07:12:23Z
dc.date.available2006-05-26T07:12:23Z
dc.date.issued2002
dc.identifier.citationEconomics Letters, 2002, 75, 1, 109-114.en
dc.identifier.urihttp://hdl.handle.net/1814/4437
dc.description.abstractA 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.en
dc.language.isoenen
dc.relation.ispartofEconomics Letters
dc.titleUnit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposalsen
dc.typeArticleen
dc.neeo.contributorLANNE|Markku|aut|
dc.neeo.contributorLUETKEPOHL|Helmut|aut|EUI70007
dc.identifier.volume75
dc.identifier.startpage109
dc.identifier.endpage114
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