Comparison of unit root tests for time series with level shifts

By Markku Lanne, Helmut Lütkepohl, Pentti Saikkonen. 2002

360 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a53bf63bf5fe63b05a196a82248279dfcb5e503b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Does financial instability increase environmental degradation? Fresh evidence from Pakistan (2013, methodology): “Saikkonen and Lütkepohl (2002) and Lanne et al. (2002) also suggested to use large autoregressive in finding break date.”
Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries (2007, positive): “The real exchange of Russia has certainly a structural break in 1998 and the test of Lanne et al. (2002), which accounts for this break, also cannot reject the null of non-stationarity.”
The Macroeconomic Effects of Exogenous Fiscal Policy Shocks in Germany: A Disaggregated SVAR Analysis (2006, methodology): “Consequently, we apply the unit root test of Saikkonen and Lütkepohl (2002) and Lanne et al. (2002), which takes into account such a break in the series.”
Short- and long-run electricity demand elasticities at the subsectoral level: A cointegration analysis for German manufacturing industries (2015, methodology): “…(Elliott-Rothenberg-Stock, see Elliott et al., 1996) test for non-breaking series and the LLS (Lanne-Lütkepohl-Saikkonen, see Saikkonen & Lütkepohl, 2002; and Lanne et al., 2002) test for variables containing structural breaks, both of which have good power properties compared to alternative tests.”
The Dynamics of Electricity Consumption and Economic Growth:A Revisit Study of Their Causality in Pakistan (2012, methodology): “[54] also suggested of using large autoregressive in finding break date to minimize the generalized least square error of the objective function.”
Oil and gas markets in the UK : Evidence from a cointegrating approach (2007, methodology): “Unit root test (UR) with structural break is the unit root tests suggested by Saikkonen and Lutkepohl (2002) and Lanne et al. (2002). 336 T.”
On the macroeconomic determinants of the housing market in Greece: a VECM approach (2016, methodology): “21 Note: The UR Test with Structural Break is proposed by Saikkonen and Lutkepohl (2002); Lanne et al (2002) (Ho: unit root), Phillips-Perron test (Ho: unit root), *** (**, *) rejects the null hypothesis at the 1% (5% and 10”