Comparison of unit root tests for time series with level shifts

Journal of Time Series Analysis

Volumn 23, Issue 6, 2002, Pages 667-685

  Lanne, Markku ^a   Lütkepohl, Helmut ^a   Saikkonen, Pentti ^a  

^a UNIVERSITY OF HELSINKI   (Finland)

Author keywords

Autoregressive process; Nonlinear shift; Unit root

Indexed keywords

EID: 19044394762     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00285     Document Type: Article

References (12)

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10. —— and VOGELSANG, T. J. (2001) Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business & Economic Statistics 10, 301–20.
11. 11 SAIKKONEN, P. and LüTKEPOHL, H. (2001) Testing for unit roots in time series with level shifts. Allgemeines Statistisches Archiv 85, 1–25.
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