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

Economics Letters

Volumn 75, Issue 1, 2002, Pages 109-114

  Lanne, Markku ^a   Lütkepohl, Helmut ^b  

^a UNIVERSITY OF HELSINKI   (Finland)

^b HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Autoregression; Structural shift; Unit root; Univariate time series

Indexed keywords

EID: 0036019664     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(01)00593-6     Document Type: Article

References (10)

1. An LM test for a unit root in the presence of a structural change
2. Comparison of unit root tests for time series with level shifts
3. The great crash, the oil price shock and the unit root hypothesis
4. Testing for a unit root in a time series with a changing mean
5. Testing for a unit root in a time series with a changing mean: Corrections and extensions
6. Erratum
7. Testing for unit roots in time series with level shifts
8. LM tests for a unit root in the presence of deterministic trends
9. Tests for unit roots: A Monte Carlo investigation
10. Additional tests for a unit root allowing for a break in the trend function at an unknown time