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Title:Unit root tests for time series with level shifts: A comparison of different proposals PDF Logo
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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