A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component

Mohitosh Kejriwal and Pierre Perron

Purdue University Economics Working Papers from Purdue University, Department of Economics

Abstract: 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 the null hypothesis of, say, l breaks, versus the alternative hypothesis of (l + 1) breaks. The test enables consistent estimation of the number of breaks. In both stationary and integrated cases, it is shown that asymptotic critical values can be obtained from the relevant quantiles of the limit distribution of the test for a single break. Monte Carlo simulations suggest that the procedure works well in finite samples.

Keywords: structural change; sequential procedure; feasible gls; unit root; structural breaks (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2009-02
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component (2010)
Working Paper: A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pur:prukra:1217

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