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Author Saikkonen, Pentti
Source CiteSeerX
Content type Text
File Format PDF
Language English
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword Critical Value ♦ Jel Classification ♦ Shift Date ♦ Unit Root Test ♦ Rst Step ♦ Nuisance Parameter ♦ Empirical Example ♦ Time Series ♦ Level Shift ♦ Unit Root ♦ Data Gen-eration Process ♦ General Form ♦ Standard Unit Root Test
Description 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 gen-eration process including the shift date in a rst 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. JEL classification: C22, C12
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Learning Resource Type Article
Publisher Date 1999-01-01
Publisher Institution Discussion Paper No. 27, SFB 373, Humboldt-Universität zu