EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
A simultaneous test of unit root and level change
Duk Bin Jun and
Dae Keun Park
Additional contact information
Duk Bin Jun: Department of Management Science, Korea Advanced Institute of Science and Technology, Seoul, Korea, Postal: Department of Management Science, Korea Advanced Institute of Science and Technology, Seoul, Korea
Dae Keun Park: Department of Management Science, Korea Advanced Institute of Science and Technology, Seoul, Korea, Postal: Department of Management Science, Korea Advanced Institute of Science and Technology, Seoul, Korea
, 2010, vol. 29, issue 3, pages 301-312
Journal of Forecasting Abstract:
Testing the existence of unit root and|or level change is necessary in order to understand the underlying processes of time series. In many studies carried out so far, the focus was only on a single aspect of unit root and level change, therefore limiting a full assessment of the given problems. Our study aims to find a solution to the given problems by testing the two hypotheses simultaneously. We derive the likelihood ratio test statistic based on the state space model, and their distributions are created by the simulation method. The performance of the proposed method is validated by simulated time series and also applied to two Korean macroeconomic time series to confirm its practical application. This analysis can provide a solution to determine the underlying structure of arguable time series. Copyright © 2009 John Wiley & Sons, Ltd.
References: Add references at CitEc Citations Track citations by RSS feed
Downloads: (external link) http://hdl.handle.net/10.1002/for.1126 Link to full text; subscription required (text/html)
Related works: This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:jof:jforec:v:29:y:2010:i:3:p:301-312
Access Statistics for this article
Journal of Forecasting is edited by
Derek W. Bunn
More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Series data maintained by Wiley-Blackwell Digital Licensing ().