A simultaneous test of unit root and level change

DOI10.1002/FOR.1126MaRDI QIDQ3065514zbMATH OpenOpenAlexFDO

Authors Duk bin Jun, Dae Keun Park

Publication date 6 January 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1126

zbMATH Keywords

level changesimulationstate space modelunit root

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Structural changes and unit roots in non-stationary time series
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Testing for unit roots in time series with level shifts
• Comparison of unit root tests for time series with level shifts
• A new unit root test with two structural breaks in level and slope at unknown time

Cites work

• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• Intervention Analysis with Applications to Economic and Environmental Problems
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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