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

This file is part of IDEAS, which uses RePEc data

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

Author Info

Lanne, Markku
Lutkepohl, Helmut

Additional information is available for the following registered author(s):

Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 75 (2002)
Issue (Month): 1 (March)
Pages: 109-114
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:ecolet:v:75:y:2002:i:1:p:109-114

Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords:

Other versions of this item:

Paper
- M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
Other versions:
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation, Yale University, revised Sep 1987. [Downloadable!]
M. Lanne & H. Lütkepohl & P. Saikkonen, . "Comparison of Unit Root Tests for Time Series with Level Shifts," Sonderforschungsbereich 373 1999-88, Humboldt Universitaet Berlin.
P. Saikkonen & H. Lütkepohl, . "Testing for Unit Roots in Time Series with Level Shifts," Sonderforschungsbereich 373 1999-27, Humboldt Universitaet Berlin.
Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
Other versions:
- Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November. [Downloadable!] (restricted)
Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
Other versions:
- G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
Other versions:
- Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
H. Lütkepohl & C. Müller & P. Saikkonen, . "Unit Root Tests for Time Series with a Structural Break When the Break Point is Known," Sonderforschungsbereich 373 1999-33, Humboldt Universitaet Berlin.
repec:cup:etheor:v:11:y:1995:i:2:p:359-68 is not listed on IDEAS
Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
Amsler, Christine & Lee, Junsoo, 1995. "An LM Test for a Unit Root in the Presence of a Structural Change," Econometric Theory, Cambridge University Press, vol. 11(02), pages 359-368, February. [Downloadable!]

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

He, Changli & Sandberg, Rickard, 2005. "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," Working Paper Series in Economics and Finance 580, Stockholm School of Economics. [Downloadable!]
M. Lanne & H. Lütkepohl & P. Saikkonen, . "Unit Root Tests in the Presence of Innovational Outliers," Sonderforschungsbereich 373 2001-82, Humboldt Universitaet Berlin.
Luetkepohl, Helmut & Wolters, Juergen, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Other versions:
- H. Lütkepohl & J. Wolters, . "The Transmission of German Monetary Policy in the Pre-Euro Period," Sonderforschungsbereich 373 2001-87, Humboldt Universitaet Berlin.

Statistics

Access and download statistics

Did you know? You can use convenient plug-ins to search directly IDEAS from your browser.

This page was last updated on 2009-12-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.