TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

By H. Luetkepohl, Pentti Saikkonen. Econometric Theory, 2002

339 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/e7a40f1b01db1141e93631d1ce0396229f2f7ab5

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Citations in the corpus

The Dynamics of Electricity Consumption and Economic Growth:A Revisit Study of Their Causality in Pakistan (2012, methodology): “To circumvent this problem, we use the test proposed by Saikkonen and Lutkepohl [53] and Lanne et al.”
Testing for a unit-root with a nonlinear Fourier function (2004, background): “The Term-Structure of Interest Rates: A number of papers, including Enders and Granger (1998), Shin and Lee (2001), Lanne and Saikkonen (2002), and Seo (2003) suggest that interest rate spreads should be stationary such that the adjustment towards the long-run equilibrium follows a threshold…”
Does financial instability increase environmental degradation? Fresh evidence from Pakistan (2013, methodology): “The results of Saikkonen and Lütkepohl (2002) unit root test are reported in Table 2.”
On the macroeconomic determinants of the housing market in Greece: a VECM approach (2016, methodology): “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%) level, Phillips-Perron test includes a constant term and the Structural Brea”
The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity (2001, background): “Before the work of Nelson and Plosser (1982), it was commonplace to assume that the trend was linear.”
Short- and long-run electricity demand elasticities at the subsectoral level: A cointegration analysis for German manufacturing industries (2015, background): “…unit root tests: the ERS (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…”
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (2004, methodology): “If our approach is used in the latter context, a one time shift in the mean reduces to a single outlier for the differenced series if the unit root null hypothesis holds (see Saikkonen and Lütkepohl (2002)).”