TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

DOI10.1017/S0266466602182053zbMath1109.62348OpenAlexW2079727519MaRDI QIDQ4807292

Pentti Saikkonen, Helmut Lütkepohl

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466602182053

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (11)

A note on forecasting Euro area inflation: leave-\(h\)-out cross validation combination as an alternative to model selection ⋮ UNIT ROOT TEST WITH HIGH-FREQUENCY DATA ⋮ Unit root testing ⋮ Cointegration testing under structural change: reducing size distortions and improving power of residual based tests ⋮ SAVINGS, INVESTMENT, EMPLOYMENT, AND INFLATION IN A SMALL OPEN ECONOMY WITH HABIT PERSISTENCE ⋮ BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING ⋮ On unit root testing with smooth transitions ⋮ Bias-adjusted estimation in the ARX(1) model ⋮ Joint hypothesis specification for unit root tests with a structural break ⋮ GLS-detrending and regime-wise stationarity testing in small samples ⋮ Recursive adjustment, unit root tests and structural breaks

This page was built for publication: TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME