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...

In this paper we propose an LM-Type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vector. Our proposal focuses on the presence of endogenous regressors and analyses which estimation...

We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual...

Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional variance which has been used in financial time series analysis. In this article we show some serious drawbacks for using this test with this type of data. Specifically, it su.ers important size distortions...

The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests...

The role of additive outliers in integrated time series has attracted some attention recently and research shows that outlier detection should be an integral part of unit root testing procedures. Recently, Vogelsang (1999) suggested an iterative procedure for the detection of multiple additive...

The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests...

The detection and location of additive outliers in integrated variables has attracted much attention recently because such outliers tend to affect unit root inference among other things. Most of these procedures have been developed for non-seasonal processes. However, the presence of seasonality...