Test procedures for unit roots in time series with level shifts at unknown time

Article Abstract:

Two types of unit root tests are analyzed by extending to the situation of the unknown break date. According to the result, for any estimator for the break date, the tests have the same asymptotic distribution as the corresponding tests under the known break date assumption.

Economic conditions

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Break point estimation and spurious rejections with endogenous unit root tests

Article Abstract:

This paper finds previous unit root tests for inference and identifying the break point estimation, to be incorrect at the point where bias in estimating the persistence parameter and spurious rejections are greatest.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Statistical Data Included, Statistics (Mathematics), Inference

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Panel LM unit-root tests with level shifts

Article Abstract:

A new panel unit-root test is adopted to the purchasing power parity (PPP) hypothesis using Lagragian multiplier (LM) principle is analyzed.

Usage, Lagrangian functions, Purchasing power

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