EconPapers    
Economics at your fingertips  
 

Detecting multiple level shifts in bounded time series

Josep Carrion-i-Silvestre () and María Dolores Gadea ()
Additional contact information
María Dolores Gadea: Department of Applied Economics, University of Zaragoza. Gran Vía, 4, 50005 Zaragoza (Spain).

No 202115, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

Abstract: The paper proposes a sequential statistical procedure to test for the presence of level shifts affecting bounded time series, regardless of their order of integration. The paper shows that bounds are relevant for the statistic that assume that the time series are integrated of order one, whereas they do not affect the limiting distribution of the statistic that is defined for time series that are integrated of order zero. The paper proposes a union rejection statistic for bounded processes that does not require information about the order of integration of the stochastic processes. The model specification is general enough to consider the existence of structural breaks that can affect either the level of the time series and/or the bounds that limit its evolution. Monte Carlo simulations indicate that the procedure works well in finite samples. An empirical application that focuses on the Swiss franc against the euro exchange rate evolution illustrates the usefulness of the proposal.

Keywords: Structural breaks; Bounded processes; Changing bounds. JEL classification: C12; C22. (search for similar items in EconPapers)
Pages: 70 pages
Date: 2021-07, Revised 2021-07
New Economics Papers: this item is included in nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.ub.edu/irea/working_papers/2021/202115.pdf (application/pdf)

Related works:
Working Paper: Detecting multiple level shifts in bounded time series (2021) Downloads
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:ira:wpaper:202115

Access Statistics for this paper

More papers in IREA Working Papers from University of Barcelona, Research Institute of Applied Economics Contact information at EDIRC.
Bibliographic data for series maintained by Alicia García ().

 
Page updated 2023-02-03
Handle: RePEc:ira:wpaper:202115