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Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time

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  • Helmut Luetkepohl

    (Humboldt University Berlin)

  • Pentti Saikkonen

    (University of Helsinki)

Abstract

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way that the unit root tests on the residuals have limiting distributions for which critical values are tabulated elsewhere in the literature. Empirical examples are discussed to illustrate the procedure.

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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0342.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:0342

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