Comparison of unit root tests for time series with level shifts

DOI10.1111/1467-9892.00285zbMath1112.62095OpenAlexW3124924455WikidataQ56568309 ScholiaQ56568309MaRDI QIDQ3440772

Pentti Saikkonen, Markku Lanne, Helmut Lütkepohl

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/76035/1/MPRA_paper_76035.pdf

zbMATH Keywords

nuisance parameterunit root testlevel shift

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference (62F99)

Related Items (6)

TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS ⋮ A note on forecasting Euro area inflation: leave-\(h\)-out cross validation combination as an alternative to model selection ⋮ Unit root testing ⋮ On unit root tests in the presence of transitional growth ⋮ SAVINGS, INVESTMENT, EMPLOYMENT, AND INFLATION IN A SMALL OPEN ECONOMY WITH HABIT PERSISTENCE ⋮ Unit root tests for time series with level shifts: a comparison of different proposals.

Cites Work

• Unnamed Item
• Testing for unit roots in time series with level shifts
• Unit roots and smooth transitions

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