Arbeitspapier

Test procedures for unit roots in time series with level shifts at unknown time

to connected objects

Two 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.

Language: Englisch

Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 2001,39

Classification: Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Hypothesis Testing: General

Subject: Univariate time series
unit root
structural shift
autoregression

Event: Geistige Schöpfung

(who): Lanne, Markku
Lütkepohl, Helmut
Saikkonen, Pentti

Event: Veröffentlichung

(who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

(where): Berlin

(when): 2001

Handle: http://hdl.handle.net/10419/62711

URN: urn:nbn:de:kobv:11-10049801

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Lanne, Markku
Lütkepohl, Helmut
Saikkonen, Pentti
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Time of origin

2001

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