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A joint test of fractional integration and structural breaks at a known period of time

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  • Luis A. Gil-Alana

Abstract

We propose the use of a version of the tests of Robinson [Journal of the American Statistical Association, 89 (1994) 1420] for testing the order of integration in raw time series in the presence of structural breaks at known periods of time. Also, a joint test for simultaneously testing the degree of integration and the need for the break is developed. Several Monte Carlo experiments conducted in the paper show that the joint test has better size and power properties relative to Robinson's (1994) tests. The tests are applied to the annual structure of the US real GDP, the results showing that the series is I(d) with d>=1, and with a break due to the World War II. Copyright 2004 Blackwell Publishing Ltd.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 25 (2004)
Issue (Month): 5 (09)
Pages: 691-700

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Handle: RePEc:bla:jtsera:v:25:y:2004:i:5:p:691-700

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Cited by:
  1. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
  2. Juan Carlos Cuestas & Luis A. Gil-Alana, 2009. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe," Working Papers 2009/6, Nottingham Trent University, Nottingham Business School, Economics Division.
  3. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
  4. Cuestas, Juan C. & Gil-Alana, Luis A. & Staehr, Karsten, 2011. "A further investigation of unemployment persistence in European transition economies," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 514-532.
  5. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
  6. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  7. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus.
  8. Hwang, Eunju & Shin, Dong Wan, 2013. "A CUSUM test for a long memory heterogeneous autoregressive model," Economics Letters, Elsevier, vol. 121(3), pages 379-383.

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