This paper considers issues related to estimation, inference and computation with multiple structural changes occurring at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance matrix of the errors. We also allow arbitrary restrictions on...

Recently, there has been an upsurge of interest in the possibility of confusing long memory and structural changes in level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased away...

Recently, there has been an upsurge of interest on the possibility of confusing long memory and structural changes in level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased away...

The tests introduced by Ng and Perron (2001, Econometrica) have the drawback that for non-local alternatives the power can be very small. The aim of this note is to point out an easy solution to this power reversal problem, which in addition leads to tests having an exact size even closer to...

We consider Johansen’s (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with an infinite VAR representation. In this case, and in particular when a moving average component is present, traditional...

Recently, there has been an upsurge of interest on the possibility of confusing long memory and structural changes in level. Many studies have documented the fact that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is...

This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance matrix of the errors. We also allow arbitrary restrictions...