Testing for unit roots in 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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ژورنال
عنوان ژورنال: Allgemeines Statistisches Archiv
سال: 2001
ISSN: 0002-6018
DOI: 10.1007/s101820100045