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...

We consider the estimation of a random level shift model for which the series of interest is the sum of a short memory process and a jump or level shift component. For the latter component, we specify the commonly used simple mixture model such that the component is the cumulative sum of a...

This paper considers the problem of testing for structural changes in the trend function of a univariate time series without any prior knowledge as to whether the noise component is stationary or contains an autoregressive unit root. We propose a new approach that builds on the work of Perron...

Recent work on trend-cycle decompositions for US real GDP yields the following features: methods based on Unobserved Components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology,...

Perron (1989) introduced unit root tests valid when a break at a known date in the trend function of a time series is present, which are invariant to the magnitude of the shift in level and/or slope and to allow them under both the null and alternative hypotheses. The subsequent literature...

We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg...

This note investigates the adequacy of the finite-sample approximation provided by the Functional Central Limit Theorem (FCLT) when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data with the distribution of the Wiener process to which it...

The authors consider the time-series behavior of the U.S. real interest rate from 1961 to 1986, using the methodology of James D. Hamilton (1989), by allowing three possible regimes affecting both the mean and variance. The results suggest that the ex-post real interest rate is essentially...