Comparison of unit root tests for time series with level shifts

DOI10.1111/1467-9892.00285zbMATH Open1112.62095OpenAlexW3124924455WikidataQ56568309 ScholiaQ56568309MaRDI QIDQ3440772FDOQ3440772

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

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zbMATH Keywords

unit root testnuisance parameterlevel shift

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• 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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