EconPapers    
Economics at your fingertips  
 

TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

Pentti Saikkonen () and Lütkepohl, Helmut

Econometric Theory, 2002, vol. 18, issue 2, 313-348

Abstract: Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way that the unit root tests on the residuals have the same limiting distributions as for the case of a known break date. Simulations are performed to investigate the small sample properties of the tests, and empirical examples are discussed to illustrate the procedure.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (163) Track citations by RSS feed

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time (2000) Downloads
Working Paper: Testing for a unit root in a time series with a level shift at unknown time (1999) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2020-10-14
Handle: RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18