Fractional integration and structural breaks at unknown periods of time

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

Journal of Time Series Analysis, 2008, vol. 29, issue 1, 163-185

Abstract: Abstract. This article deals with the analysis of structural breaks in the context of fractionally integrated models. We assume that the break dates are unknown and that the different sub‐samples possess different intercepts, slope coefficients and fractional orders of integration. The procedure is based on linear regression models using a grid of values for the fractional differencing parameters and least squares estimation. Several Monte Carlo experiments conducted across the study show that the procedure performs well if the sample size is large enough. Two empirical applications are described at the end of the article.

Date: 2008
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Citations: View citations in EconPapers (168)

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https://doi.org/10.1111/j.1467-9892.2007.00550.x

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Working Paper: Fractional integration and structural breaks at unknown periods of time (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185

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