TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
复制标题
测试时间序列中未知时间水平移动的单位根
作者：
H. Luetkepohl;P. Saikkonen
当水平移动的时间未知时，考虑具有一般形式的水平移动的时间序列的单位根检验。建议在第一步中估计包括移位日期的数据生成过程的滋扰参数，并将标准单位根检验应用于残差。的滋扰参数的估计是这样做的，单位根测试的残差具有相同的极限分布的情况下，一个已知的休息日期。模拟进行调查的小样本性能的测试，并讨论了实证例子来说明的过程。
Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way that the unit root tests on the residuals have the same limiting distributions as for the case of a known break date. Simulations are performed to investigate the small sample properties of the tests, and empirical examples are discussed to illustrate the procedure.