Unit root tests for time series with level shifts: a comparison of different proposals.

DOI10.1016/S0165-1765(01)00593-6zbMath1131.91378MaRDI QIDQ1605452

Markku Lanne, Helmut Lütkepohl

Publication date: 15 July 2002

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

AutoregressionUnit rootStructural shiftUnivariate time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items

Recursive adjustment, unit root tests and structural breaks

Cites Work

• Testing for unit roots in time series with level shifts
• Comparison of unit root tests for time series with level shifts
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis