Testing for a unit root in a time series with a level shift at unknown time

Pentti Saikkonen and Helmut Lütkepohl

No 1999,72, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

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 limiting distributions for which critical values are tabulated elsewhere in the literature. Empirical examples are discussed to illustrate the procedure.

Keywords: univariate time series; unit root; structural shift; autoregression (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME (2002)
Working Paper: Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199972

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