Testing for unit roots in autoregressions with multiple level shifts

DOI10.1017/S0266466607070466zbMATH Open1237.62112MaRDI QIDQ2886980FDOQ2886980

Authors: Giuseppe Cavaliere, Iliyan Georgiev 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• A note on unit root testing in the presence of level shifts
• Comparison of unit root tests for time series with level shifts
• 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
• Markov level shifts and the unit-root hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Estimating and Testing Linear Models with Multiple Structural Changes
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Testing for the presence of a random walk in series with structural breaks
• Towards a unified asymptotic theory for autoregression
• Regression Theory for Near-Integrated Time Series
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Long memory and stochastic trend.
• Testing for a unit root in variables with a double change in the mean
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• Unit Root Tests under Time-Varying Variances
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Comparison of unit root tests for time series with level shifts
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Unit‐root testing against the alternative hypothesis of up to m structural breaks
• GLS detrending, efficient unit root tests and structural change.
• Testing for unit roots in time series with level shifts
• Unit roots and smooth transitions
• Infrequent permanent shocks and the finite-sample performance of unit root tests
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

Cited In (16)

• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Markov level shifts and the unit-root hypothesis
• Unit root tests for time series with level shifts: a comparison of different proposals.
• Testing for unit roots in time series with level shifts
• A note on unit root testing in the presence of level shifts
• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Unit root testing
• Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts
• Multiple unit roots in periodic autoregression
• Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
• Testing for a unit root in the presence of a possible break in trend
• Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
• Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
• Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
• Size distortion of asymmetric unit root tests in the presence of level shifts

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