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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

Unit root tests for time series with a structural break : when the break point is known

Lütkepohl, Helmut; Müller-Kademann, Christian; … - 1999

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated...

Persistent link: https://www.econbiz.de/10009580481

Testing for unit roots in time series with level shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable or it may have a more general form which can be modeled by some general...

Persistent link: https://www.econbiz.de/10009580487

Testing for a unit root in a time series with a level shift at unknown time

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way …

Persistent link: https://www.econbiz.de/10009581100

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

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

Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...

Persistent link: https://www.econbiz.de/10009659070

Trend adjustment prior to testing for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...

Persistent link: https://www.econbiz.de/10009659627

Order selection in testing for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti - 1997

The impact of the choice of the lag length on tests for the number of cointegration relations in a vector autoregressive (VAR) process is investigated. It is shown that the asymptotic distribution of likelihood ratio (LR) tests for the cointegrating rank remains unchanged if the true data...

Persistent link: https://www.econbiz.de/10009660377