Inference on a Structural Break in Trend with Fractionally Integrated Errors

Seong Yeon Chang and Pierre Perron

No 2013-020, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: Perron and Zhu (2005) established the consistency, rate of convergence, and the limiting distributions of parameter estimates in a linear time trend with a change in slope with or without a concurrent change in level. They considered the dichotomous cases whereby the errors are short-memory, I(0), or have an autoregressive unit root, I(1). We extend their analysis to cover the more general case of fractionally integrated errors for values of d in the interval (

Keywords: long-memory; segmented trend; structural change; spurious break; linear trend. (search for similar items in EconPapers)
Pages: 47
Date: 2013
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Related works:
Journal Article: Inference on a Structural Break in Trend with Fractionally Integrated Errors (2016)
Working Paper: Inference on a Structural Break in Trend with Fractionally Integrated Errors (2015)
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