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Reducing size distortions of parametric stationarity tests

Lanne, Markku; Saikkonen, Pentti - 2000

recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe …

Persistent link: https://www.econbiz.de/10009582386

Unit root tests in the presence of innovational outliers

Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001

account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is … preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without …

Persistent link: https://www.econbiz.de/10009616785

Comparison of unit root tests for time series with level shifts

Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 1999

previously suggested tests of this sort are analyzed and a range of modifications is proposed which take into account estimation … errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to … estimation under local alternatives. This contrasts with results obtained by other authors for time series without level shifts. …

Persistent link: https://www.econbiz.de/10009582419

Unit root tests for time series with level shifts : a comparison of different proposals

Lanne, Markku; Lütkepohl, Helmut - 2001

A number of unit root tests which accommodate a deterministic level shift at a known point in time are compared in a Monte Carlo study. The tests differ in the way they treat the deterministic term of the DGP. It turns out that Phillips-Perron type tests have very poor small sample properties...

Persistent link: https://www.econbiz.de/10009612568

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

Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...

Persistent link: https://www.econbiz.de/10009613596

Modeling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - 2000

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...

Persistent link: https://www.econbiz.de/10009612047