EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/62711
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorLanne, Markkuen_US
dc.contributor.authorLütkepohl, Helmuten_US
dc.contributor.authorSaikkonen, Penttien_US
dc.date.accessioned2012-09-18T13:46:05Z-
dc.date.available2012-09-18T13:46:05Z-
dc.date.issued2001en_US
dc.identifier.piurn:nbn:de:kobv:11-10049801en_US
dc.identifier.urihttp://hdl.handle.net/10419/62711-
dc.description.abstractTwo types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under the known break date assumption. Different estimators of the break date are compared in a Monte Carlo experiment and a recommendation for choosing the break date in small samples is given. It is also shown that ignoring the fact that a break has occurred and applying a standard unit root test may lead to substantial size distortion and total loss of power. Example series from the Nelson-Plosser data set are used to illustrate the performance of our tests.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,39en_US
dc.subject.jelC22en_US
dc.subject.jelC12en_US
dc.subject.ddc330en_US
dc.subject.keywordUnivariate time seriesen_US
dc.subject.keywordunit rooten_US
dc.subject.keywordstructural shiften_US
dc.subject.keywordautoregressionen_US
dc.titleTest procedures for unit roots in time series with level shifts at unknown timeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn72489750Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200139-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

Files in This Item:
File Description SizeFormat
72489750X.pdf620.09 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.