The KPSS Test with Two Structural Breaks

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.

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Year of publication:	2005-07
Authors:	Carrion-i-Silvestre, Josep Lluís ; Sansó, Andreu
Institutions:	Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials
Subject:	Stationary tests \| structural breaks \| unit root

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Extent:	application/pdf
Series:	DEA Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 13
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005612443