Structural Change and the Order of Integration in Univariate Time Series
AbstractIn this article I investigate whether the presence of structural breaks affects inference on the order of integration in univariate time series. For this purpose, we make use of a version of the tests of Robinson (1994) which allows us to test unit and fractional roots in the presence of deterministic changes. Several Monte Carlo experiments conducted across the paper show that the tests perform relatively well in the presence of both mean and slope breaks. The tests are applied to annual data on German real GDP, the results showing that the series may be well described in terms of a fractional model with a structural slope break due to World War II.
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 23 (2004)
Issue (Month): 3 (04)
Other versions of this item:
- Luis Alberiko Gil-Alana, . "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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