Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - Department of Economics and Business, Universitat … - 2005
of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of … disentangling the existing identification issue between long-memory and structural breaks. Denoting by AB(t) the different types of … structural breaks in the deterministic components of a time series considered by Perron (1989), the test statistic proposed here …