Recently, there has been an upsurge of interest on the possibility of confusing long memory and structural changes in level. Many studies have documented the fact that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is...

We consider the problem of estimating and testing for multiple breaks in a single equation framework with regressors that are endogenous, i.e., correlated with the errors. First, we show based on standard assumptions about the regressors, instruments and errors that the second stage regression...

Elliott and Müller (2006) considered the problem of testing for general types of parameter variations, including infrequent breaks. They developed a framework that yields optimal tests, in the sense that they nearly attain some local Gaussian power envelop. The main ingredient in their setup is...

Recently, there has been an upsurge of interest in the possibility of confusing long memory and structural changes in level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased away...

Recently, there has been an upsurge of interest on the possibility of confusing long memory and structural changes in level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased away...