Unit root tests for time series with a structural break when the break point is known

Lütkepohl, Helmut; Müller, Christian; Saikkonen, Pentti

doi:10.1017/CBO9781139175203.014

Publication type:	Conference paper
Type of review:	Not specified
Title:	Unit root tests for time series with a structural break when the break point is known
Authors:	Lütkepohl, Helmut Müller, Christian Saikkonen, Pentti
DOI:	10.1017/CBO9781139175203.014
Proceedings:	Nonlinear statistical modeling : proceedings of the thirteenth international symposium in economic theory and econometrics: essays in honor of Takeshi Amemiya
Editors of the parent work:	Hsiao, Cheng Morimune, Kirio Powell, James
Page(s):	327
Pages to:	348
Conference details:	Thirteenth International Symposium in Economic Theory and Econometrics, Cambridge, United Kingdom, 30 November 2001
Issue Date:	2001
Publisher / Ed. Institution:	University Press
Publisher / Ed. Institution:	Cambridge
ISBN:	9780521662468 9781139175203
Language:	English
Subject (DDC):	330: Economics
Abstract:	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
Fulltext version:	Published version
License (according to publishing contract):	Licence according to publishing contract
Departement:	School of Management and Law
Organisational Unit:	Center for Labor, Digital and Regional Economics (CLDR)
Appears in collections:	Publikationen School of Management and Law

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Lütkepohl, H., Müller, C., & Saikkonen, P. (2001). Unit root tests for time series with a structural break when the break point is known [Conference paper]. In C. Hsiao, K. Morimune, & J. Powell (Eds.), Nonlinear statistical modeling : proceedings of the thirteenth international symposium in economic theory and econometrics: essays in honor of Takeshi Amemiya (pp. 327–348). University Press. https://doi.org/10.1017/CBO9781139175203.014

Lütkepohl, H., Müller, C. and Saikkonen, P. (2001) ‘Unit root tests for time series with a structural break when the break point is known’, in C. Hsiao, K. Morimune, and J. Powell (eds) Nonlinear statistical modeling : proceedings of the thirteenth international symposium in economic theory and econometrics: essays in honor of Takeshi Amemiya. Cambridge: University Press, pp. 327–348. Available at: https://doi.org/10.1017/CBO9781139175203.014.

H. Lütkepohl, C. Müller, and P. Saikkonen, “Unit root tests for time series with a structural break when the break point is known,” in Nonlinear statistical modeling : proceedings of the thirteenth international symposium in economic theory and econometrics: essays in honor of Takeshi Amemiya, 2001, pp. 327–348. doi: 10.1017/CBO9781139175203.014.

LÜTKEPOHL, Helmut, Christian MÜLLER und Pentti SAIKKONEN, 2001. Unit root tests for time series with a structural break when the break point is known. In: Cheng HSIAO, Kirio MORIMUNE und James POWELL (Hrsg.), Nonlinear statistical modeling : proceedings of the thirteenth international symposium in economic theory and econometrics: essays in honor of Takeshi Amemiya. Conference paper. Cambridge: University Press. 2001. S. 327–348. ISBN 9780521662468

Lütkepohl, Helmut, Christian Müller, and Pentti Saikkonen. 2001. “Unit Root Tests for Time Series with a Structural Break When the Break Point Is Known.” Conference paper. In Nonlinear Statistical Modeling : Proceedings of the Thirteenth International Symposium in Economic Theory and Econometrics: Essays in Honor of Takeshi Amemiya, edited by Cheng Hsiao, Kirio Morimune, and James Powell, 327–48. Cambridge: University Press. https://doi.org/10.1017/CBO9781139175203.014.

Lütkepohl, Helmut, et al. “Unit Root Tests for Time Series with a Structural Break When the Break Point Is Known.” Nonlinear Statistical Modeling : Proceedings of the Thirteenth International Symposium in Economic Theory and Econometrics: Essays in Honor of Takeshi Amemiya, edited by Cheng Hsiao et al., University Press, 2001, pp. 327–48, https://doi.org/10.1017/CBO9781139175203.014.