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dc.contributor.authorLütkepohl, Helmut-
dc.contributor.authorMüller, Christian-
dc.contributor.authorSaikkonen, Pentti-
dc.date.accessioned2018-11-14T11:14:23Z-
dc.date.available2018-11-14T11:14:23Z-
dc.date.issued2001-
dc.identifier.isbn9780521662468de_CH
dc.identifier.isbn9781139175203de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/12815-
dc.description.abstractA 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.de_CH
dc.language.isoende_CH
dc.publisherUniversity Pressde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subject.ddc330: Wirtschaftde_CH
dc.titleUnit root tests for time series with a structural break when the break point is knownde_CH
dc.typeKonferenz: Paperde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitFachstelle für Wirtschaftspolitik (FWP)de_CH
zhaw.publisher.placeCambridgede_CH
dc.identifier.doi10.1017/CBO9781139175203.014de_CH
zhaw.conference.detailsThirteenth International Symposium in Economic Theory and Econometrics, Cambridge, United Kingdom, 30 November 2001de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawNode_CH
zhaw.pages.end348de_CH
zhaw.pages.start327de_CH
zhaw.parentwork.editorHsiao, Cheng-
zhaw.parentwork.editorMorimune, Kirio-
zhaw.parentwork.editorPowell, James-
zhaw.publication.statuspublishedVersionde_CH
zhaw.publication.reviewNot specifiedde_CH
zhaw.title.proceedingsNonlinear statistical modeling : proceedings of the thirteenth international symposium in economic theory and econometrics: essays in honor of Takeshi Amemiyade_CH
Appears in collections:Publikationen School of Management and Law

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