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Perron and Yabu (2008) consider the problem of testing for a break occuring at an unknown date in the trend function of a univariate time series when the noise component can be either stationary or integrated. This paper extends their work by proposing a sequential test that allows one to test...
Persistent link: https://www.econbiz.de/10005835374
This paper considers the problem of testing for multiple structural changes in the persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis that the process has an autoregressive unit root against the alternative hypothesis that the process alternates between...
Persistent link: https://www.econbiz.de/10005037718
Recent empirical studies find little evidence of a change in euro area inflation persistence over the post-1970 period. Their methodology is primarily based on standard unit root and structural break tests on the persistence parameter in an autoregressive specification for the inflation process....
Persistent link: https://www.econbiz.de/10005835365
Determining whether per capita output can be characterized by a stochastic trend is complicated by the fact that infrequent breaks in trend can bias standard unit root tests towards non-rejection of the unit root hypothesis. The bulk of the existing literature has focused on the application of...
Persistent link: https://www.econbiz.de/10008490455
This paper studies the problem of estimation and inference in cointegrated regression models with multiple structural changes. Our framework is general enough to incorporate both stationary and integrated regressors. Both pure and partial structural change models are analyzed. We derive the...
Persistent link: https://www.econbiz.de/10004972890
This paper considers issues related to testing for multiple structural changes in cointegrated systems. We derive the limiting distribution of the Sup-Wald test under mild conditions on the errors and regressors for a variety of testing problems. Our asymptotic results show that as long as the...
Persistent link: https://www.econbiz.de/10004972918
Persistent link: https://www.econbiz.de/10004972920
Perron (1989) introduced a variety of unit root tests that are valid when a break in the trend function of a time series is present. The motivation was to devise testing procedures that were invariant to the magnitude of the shift in level and/or slope. In particular, if a change is present it...
Persistent link: https://www.econbiz.de/10004972924
Perron and Yabu (2008) consider the problem of testing for a break occuring at an unknown date in the trend function of a univariate time series when the noise component can be either stationary or integrated. This paper extends their work by proposing a sequential test that allows one to test...
Persistent link: https://www.econbiz.de/10004994217
Saikkonen (1991) developed an asymptotic optimality theory for the estimation of cointegrated regressions. He proposed the dynamic OLS estimator obtained by augmenting the static cointegrating regression with leads and lags of the first differences of the I(1) regressors. However, the...
Persistent link: https://www.econbiz.de/10004994220