A joint test of fractional integration and structural breaks at a known period of time
We propose the use of a version of the tests of Robinson [Journal of the American Statistical Association, 89 (1994) 1420] for testing the order of integration in raw time series in the presence of structural breaks at known periods of time. Also, a joint test for simultaneously testing the degree of integration and the need for the break is developed. Several Monte Carlo experiments conducted in the paper show that the joint test has better size and power properties relative to Robinson's (1994) tests. The tests are applied to the annual structure of the US real GDP, the results showing that the series is I(d) with d>=1, and with a break due to the World War II. Copyright 2004 Blackwell Publishing Ltd.
Year of publication: |
2004
|
---|---|
Authors: | Gil-Alana, Luis A. |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 25.2004, 5, p. 691-700
|
Publisher: |
Wiley Blackwell |
Saved in:
freely available
Saved in favorites
Similar items by person
-
The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
Candelon, Bertrand, (2008)
-
A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada
Gil-Alana, Luis A., (2007)
-
Yaya, OlaOluwa S., (2015)
- More ...