A note on unit root testing in the presence of level shifts
In this note we discuss the properties of Augmented-Dickey-Fuller [ADF] unit root tests for autoregressive processes with a unit or near-unit root in the presence of multiple level shifts of large size. Due to the presence of level shifts, the ADF tests experience severe power losses. We consider ne...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Bologna
2013-03-01
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| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/443 |