Comparison of unit root tests for time series with level shifts
نویسندگان
چکیده
منابع مشابه
Testing for unit roots in time series with level shifts
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 nonlinear transition function There may also be more than one shift point and there may be other deter...
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Simple exponential smoothing (SES) methods are the most commonly used methods in forecasting and time series analysis. However, they are generally insensitive to non-stationary structural events such as level shifts, ramp shifts, and spikes or impulses. Similar to that of outliers in stationary time series, these non-stationary events will lead to increased level of errors in the forecasting pr...
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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 from the unit root component. In this framework simple shift functions result in a smooth transition ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2002
ISSN: 0143-9782,1467-9892
DOI: 10.1111/1467-9892.00285