A joint test of fractional integration and structural breaks at a known period of time

Luis A. Gil‐Alana
Authors registered in the RePEc Author Service: Luis Alberiko Gil-Alana

Journal of Time Series Analysis, 2004, vol. 25, issue 5, 691-700

Abstract: Abstract. We propose the use of a version of the tests of Robinson [Journal of the American Statistical Association, 89 (1994) 1420] for testing the order of integration in raw time series in the presence of structural breaks at known periods of time. Also, a joint test for simultaneously testing the degree of integration and the need for the break is developed. Several Monte Carlo experiments conducted in the paper show that the joint test has better size and power properties relative to Robinson's (1994) tests. The tests are applied to the annual structure of the US real GDP, the results showing that the series is I(d) with d≥1, and with a break due to the World War II.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2004.01882.x

Related works:
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: https://EconPapers.repec.org/RePEc:bla:jtsera:v:25:y:2004:i:5:p:691-700

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().