Testing for unit roots in time series with level shifts

zbMath1100.62090MaRDI QIDQ1879389

Pentti Saikkonen, Helmut Lütkepohl

Publication date: 22 September 2004

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4348

zbMATH Keywords

unit rootautoregressionunivariate time seriesstructural shift

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (7)

TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS ⋮ Unit root testing ⋮ Seasonal Unit Root Tests Under Structural Breaks* ⋮ On unit root tests in the presence of transitional growth ⋮ On unit root testing with smooth transitions ⋮ Comparison of unit root tests for time series with level shifts ⋮ Unit root tests for time series with level shifts: a comparison of different proposals.

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