Publikationstyp: Konferenz: Paper
Art der Begutachtung: Keine Angabe
Titel: Unit root tests for time series with a structural break when the break point is known
Autor/-in: Lütkepohl, Helmut
Müller, Christian
Saikkonen, Pentti
DOI: 10.1017/CBO9781139175203.014
Tagungsband: Nonlinear statistical modeling : proceedings of the thirteenth international symposium in economic theory and econometrics: essays in honor of Takeshi Amemiya
Herausgeber/-in des übergeordneten Werkes: Hsiao, Cheng
Morimune, Kirio
Powell, James
Seite(n): 327
Seiten bis: 348
Angaben zur Konferenz: Thirteenth International Symposium in Economic Theory and Econometrics, Cambridge, United Kingdom, 30 November 2001
Erscheinungsdatum: 2001
Verlag / Hrsg. Institution: University Press
Verlag / Hrsg. Institution: Cambridge
ISBN: 9780521662468
9781139175203
Sprache: Englisch
Fachgebiet (DDC): 330: Wirtschaft
Zusammenfassung: A number of studies consider testing for unit roots in univariate time series which have a level shift. Examples are Perron (1989, 1990), Perron and Vogelsang (1992), Banerjee, Lumsdaine, and Stock (1992), Zivot and Andrews (1992), Amsler and Lee (1995), Leybourne, Newbold, and Vougas (1998), Montanes and Reyes (1998), and Saikkonen and Lütkepohl (1999). These tests are important because the trending properties of a set of time series determine to some extent which model and statistical procedures are suitable for analyzing their relationship. In the aforementioned studies different models and assumptions for the structural shift are considered. In some of the studies the timing of the break point is assumed to be known, whereas in others a shift in an unknown period is considered. There seems to be general consensus, however, that if the break point is known, this is useful information which should be taken into account in the subsequent analysis and in particular in testing for unit roots. Therefore we will focus on the latter case in the following. In practice, a known break point is quite common. For instance, many German macroeconomic time series are known to have a shift in 1990 where the German reunification took place. For the case of a known break point we will propose a framework which generalizes previously considered models. In this framework the shift is modeled as part of the intercept term of the stationary part of the data generation process (DGP) which is clearly separated from the unit root part.
URI: https://digitalcollection.zhaw.ch/handle/11475/12815
Volltext Version: Publizierte Version
Lizenz (gemäss Verlagsvertrag): Lizenz gemäss Verlagsvertrag
Departement: School of Management and Law
Organisationseinheit: Fachstelle für Wirtschaftspolitik (FWP)
Enthalten in den Sammlungen:Publikationen School of Management and Law

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