Fractional integration and structural breaks at unknown periods of time

Luis Gil-Alana

No 16/06, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: This paper 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 paper show that the procedure performs well if the sample size is large enough. Two empirical applications are carried out at the end of the article.

Pages: 35 pages
Date: 2006-12-02
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Citations: View citations in EconPapers (2)

Published in Journal of Time Series Analysis 29 (1), 163-185 (2008)

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