Title of article
Unit root tests for time series with level shifts: a comparison of different proposals
Author/Authors
Markku Lanne، نويسنده , , Helmut Lütkepohl، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
6
From page
109
To page
114
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
Keywords
Structural shift , Univariate time series , Autoregression , Unit root
Journal title
Economics Letters
Serial Year
2002
Journal title
Economics Letters
Record number
434908
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