The KPSS Test with Two Structural Breaks

Josep Carrion-i-Silvestre and Andreu Sansó

No 13, DEA Working Papers from Universitat de les Illes Balears, Departament d'Economía Aplicada

Abstract: In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de?ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in finite samples.

Keywords: Stationary tests; structural breaks; unit root. (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Date: 2005-07
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Journal Article: The KPSS test with two structural breaks (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ubi:deawps:13

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