Structural Change and the Order of Integration in Univariate Time Series

Luis Gil-Alana

Computational Economics, 2004, vol. 23, issue 3, 239-254

Abstract: In this article I investigate whether the presence of structural breaks affects inference on the order of integration in univariate time series. For this purpose, we make use of a version of the tests of Robinson (1994) which allows us to test unit and fractional roots in the presence of deterministic changes. Several Monte Carlo experiments conducted across the paper show that the tests perform relatively well in the presence of both mean and slope breaks. The tests are applied to annual data on German real GDP, the results showing that the series may be well described in terms of a fractional model with a structural slope break due to World War II.

Date: 2004
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