Aue, Alexander; Horváth, Lajos; Hušková, Marie - In: Journal of Econometrics 168 (2012) 2, pp. 367-381
In this paper, we provide a segmentation procedure for mean-nonstationary time series. The segmentation is obtained by casting the problem into the framework of detecting structural breaks in trending regression models in which the regressors are generated by suitably smooth functions. As test...