A simple deterministic algorithm for community detection is provided by using two rounds of minimum spanning trees. By comparing the first round minimum spanning tree (1st-MST) with the second round spanning tree (2nd-MST) of the network, communities are detected and their overlapping nodes are...

This paper studies the problem of estimation and inference in cointegrated regression models with multiple structural changes. Our framework is general enough to incorporate both stationary and integrated regressors. Both pure and partial structural change models are analyzed. We derive the...

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. Our asymptotic results show that as long as the...

Perron (1989) introduced a variety of unit root tests that are valid when a break in the trend function of a time series is present. The motivation was to devise testing procedures that were invariant to the magnitude of the shift in level and/or slope. In particular, if a change is present it...

This paper studies the behavior of recently proposed bootstrap tests for the null hypothesis of stationarity when the data are generated under the alternative hypothesis of a unit root. Using Monte Carlo experiments and empirical examples, it is shown that the power of these tests critically...

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 throughout the sample against the alternative hypothesis that the process...

This paper studies issues related to the estimation of a structural change in the persistence of a univariate time series. The break is such that the process has a unit root [i.e., is I(1)] in the pre-break regime but reverts to a stationary [i.e., I(0)] process in the post-break regime or vice...

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...

Saikkonen (1991) developed an asymptotic optimality theory for the estimation of cointegrated regressions. He proposed the dynamic OLS estimator obtained by augmenting the static cointegrating regression with leads and lags of the first differences of the I(1) regressors. However, the...