This paper considers the problem of testing for multiple structural changes in the persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis that the process has an autoregressive unit root against the alternative hypothesis that the process alternates between...

This paper considers issues related to testing for multiple structural changes in cointegrated systems. We derive the limiting distribution of the Sup-Wald test under mild conditions on the errors and regressors for a variety of testing problems. We show that even if the coefficients of the...

Perron and Yabu (2008) consider the problem of testing for a break occuring at an unknown date in the trend function of a univariate time series when the noise component can be either stationary or integrated. This paper extends their work by proposing a sequential test that allows one to test...