Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62711 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorLanne, Markkuen
dc.contributor.authorLütkepohl, Helmuten
dc.contributor.authorSaikkonen, Penttien
dc.date.accessioned2012-09-18T13:46:05Z-
dc.date.available2012-09-18T13:46:05Z-
dc.date.issued2001-
dc.identifier.piurn:nbn:de:kobv:11-10049801en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2001,39en
dc.subject.jelC22en
dc.subject.jelC12en
dc.subject.ddc330en
dc.subject.keywordUnivariate time seriesen
dc.subject.keywordunit rooten
dc.subject.keywordstructural shiften
dc.subject.keywordautoregressionen
dc.titleTest procedures for unit roots in time series with level shifts at unknown time-
dc.typeWorking Paperen
dc.identifier.ppn72489750Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200139en

Datei(en):
Datei
Größe
620.09 kB





Publikationen in EconStor sind urheberrechtlich geschützt.