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Testing for a unit root in a time series with a level shift at unknown time

  • Saikkonen, Pentti
  • Lütkepohl, Helmut

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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Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1999,72.

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Date of creation: 1999
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Handle: RePEc:zbw:sfb373:199972
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