Arbeitspapier

Testing for a unit root in a time series with a level shift at unknown time

to connected objects

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way that the unit root tests on the residuals have limiting distributions for which critical values are tabulated elsewhere in the literature. Empirical examples are discussed to illustrate the procedure.

Language: Englisch

Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 1999,72

Classification: Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Hypothesis Testing: General

Subject: univariate time series
unit root
structural shift
autoregression

Event: Geistige Schöpfung

(who): Saikkonen, Pentti
Lütkepohl, Helmut

Event: Veröffentlichung

(who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

(where): Berlin

(when): 1999

Handle: http://hdl.handle.net/10419/61769

URN: urn:nbn:de:kobv:11-10046993

Last update: 10.03.2025, 11:44 AM CET

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Object type

Arbeitspapier

Associated

Saikkonen, Pentti
Lütkepohl, Helmut
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Time of origin

1999

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