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 |