Comparison of unit root tests for time series with level shifts

DOI10.1111/1467-9892.00285MaRDI QIDQ3440772zbMATH OpenOpenAlexWikidataFDO

Authors Markku Lanne, Pentti Saikkonen, Helmut Lütkepohl

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/76035/1/MPRA_paper_76035.pdf

zbMATH Keywords

unit root testnuisance parameterlevel shift

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference (62F99)

Recommendations

• Unit root tests for time series with level shifts: a comparison of different proposals.
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Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Testing for unit roots in time series with level shifts
• Unit roots and smooth transitions

Cited in

(15)

• Unit root tests for time series with level shifts: a comparison of different proposals.
• A simultaneous test of unit root and level change
• Testing for unit roots in time series with level shifts
• A note on unit root testing in the presence of level shifts
• Modified seasonal unit root test with seasonal level shifts at unknown time
• Examination of Some More Powerful Modifications of the Dickey–Fuller Test
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Unit root testing
• A note on forecasting Euro area inflation: leave-\(h\)-out cross validation combination as an alternative to model selection
• Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts
• Savings, investment, employment, and inflation in a small open economy with habit persistence
• Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
• On unit root tests in the presence of transitional growth
• Structural changes and unit roots in non-stationary time series
• Testing for unit roots in autoregressions with multiple level shifts

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