Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time*

Markku Lanne · Helmut Lütkepohl · Pentti Saikkonen

127 citations0/0 files storedOxford Bulletin of Economics and Statistics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

Abstract

Abstract 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. Example series from the Nelson–Plosser data set are used to illustrate the performance of our tests.

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References

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1996Efficient Tests for an Autoregressive Unit Root 1982Trends and random walks in macroeconmic time series 1992Efficient Tests for an Autoregressive Unit Root 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity 1990Testing for a Unit Root in a Time Series With a Changing Mean

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