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)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2009-02
View citations in EconPapers

Downloads: (external link)
http://www.krannert.purdue.edu/programs/phd/Workin ... s/Year-2009/1217.pdf (application/pdf)

Related works:
Working Paper: A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:pur:prukra:1217

Access Statistics for this paper

More papers in Purdue University Economics Working Papers from Purdue University, Department of Economics
Contact information at EDIRC.
Series data maintained by Max Hapner ().