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Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2001,5
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Univariate time series
unit root
structural shift
autoregression
JEL: 
C22
C12
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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