| dc.contributor.author | LANNE, Markku | |
| dc.contributor.author | LUETKEPOHL, Helmut | |
| dc.date.accessioned | 2006-05-26T07:12:23Z | |
| dc.date.available | 2006-05-26T07:12:23Z | |
| dc.date.issued | 2002 | |
| dc.identifier.citation | Economics Letters, 2002, 75, 1, 109-114. | en |
| dc.identifier.uri | https://hdl.handle.net/1814/4437 | |
| dc.description.abstract | 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. | en |
| dc.language.iso | en | en |
| dc.relation.ispartof | Economics Letters | |
| dc.title | Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals | en |
| dc.type | Article | en |
| dc.neeo.contributor | LANNE|Markku|aut| | |
| dc.neeo.contributor | LUETKEPOHL|Helmut|aut|EUI70007 | |
| dc.identifier.volume | 75 | |
| dc.identifier.startpage | 109 | |
| dc.identifier.endpage | 114 | |
| eui.subscribe.skip | true | |