Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62711
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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.publisher|aHumboldt-Universität |cBerlinen_US
dc.relation.ispartofseries|aDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |x2001,39en_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-

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