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A simultaneous test of unit root and level change

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  • Duk Bin Jun

    (Department of Management Science, Korea Advanced Institute of Science and Technology, Seoul, Korea)

  • Dae Keun Park

    (Department of Management Science, Korea Advanced Institute of Science and Technology, Seoul, Korea)

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    Abstract

    Testing the existence of unit root and|or level change is necessary in order to understand the underlying processes of time series. In many studies carried out so far, the focus was only on a single aspect of unit root and level change, therefore limiting a full assessment of the given problems. Our study aims to find a solution to the given problems by testing the two hypotheses simultaneously. We derive the likelihood ratio test statistic based on the state space model, and their distributions are created by the simulation method. The performance of the proposed method is validated by simulated time series and also applied to two Korean macroeconomic time series to confirm its practical application. This analysis can provide a solution to determine the underlying structure of arguable time series. Copyright © 2009 John Wiley & Sons, Ltd.

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    File URL: http://hdl.handle.net/10.1002/for.1126
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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

    Volume (Year): 29 (2010)
    Issue (Month): 3 ()
    Pages: 301-312

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    Handle: RePEc:jof:jforec:v:29:y:2010:i:3:p:301-312

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    Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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