Testing for and Dating Common Breaks in Multivariate Time Series
AbstractThis paper develops methods for constructing asymptotically valid confidence intervals for the date of a single break in multivariate time series, including I(0), I(1), and deterministically trending regressors. Although the width of the asymptotic confidence interval does not decrease as the sample size increases, it is inversely related to the number of series that have a common break date, so there are substantial gains to multivariate inference about break dates. These methods are applied to two empirical examples: the mean growth rate of output in three European countries and the mean growth rate of U.S. consumption, investment, and output. Copyright 1998 by The Review of Economic Studies Limited.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 65 (1998)
Issue (Month): 3 (July)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527
Other versions of this item:
- Tom Doan, . "RATS program to demonstrate Bai, Lumsdaine, Stock common breaks in VAR," Statistical Software Components RTZ00171, Boston College Department of Economics.
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