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Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/62705
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| Title: | | Unit root tests for time series with level shifts: A comparison of different proposals  |
| Authors: | | Lanne, Markku Lütkepohl, Helmut |
| Issue Date: | | 2001 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,5 |
| Abstract: | | A number of unit root tests which accommodate a deterministic level shift at a known point in time are compared in a Monte Carlo study. The tests differ in the way they treat the deterministic term of the DGP. It turns out that Phillips-Perron type tests have very poor small sample properties and cannot be recommended for applied work. Moreover, tests which estimate the deterministic term by a GLS procedure under the unit root null hypothesis are superior in terms of size and power properties relative to tests which estimate the deterministic term by OLS procedures. |
| Subjects: | | Univariate time series unit root structural shift autoregression |
| JEL: | | C22 C12 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10048579 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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