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Title:Testing for a unit root in a time series with a level shift at unknown time PDF Logo
Authors:Saikkonen, Pentti
Lütkepohl, Helmut
Issue Date:1999
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,72
Abstract: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.
Subjects:univariate time series
unit root
structural shift
autoregression
JEL:C22
C12
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10046993
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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