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Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks

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  • Luis A. Gil-Alana

Abstract

Tests of unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying the tests to the same dataset as in Perron (1989), we observe that our results might be consistent with those in Perron (1989) when testing the nulls of trend-stationarity or a unit-root. However, we also observe that fractionally integrated hypotheses may be plausible alternatives in the context of structural breaks at a known period of time. Copyright Springer-Verlag Berlin Heidelberg 2003

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File URL: http://hdl.handle.net/10.1007/s001810100121
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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 28 (2003)
Issue (Month): 1 (January)
Pages: 101-113

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Handle: RePEc:spr:empeco:v:28:y:2003:i:1:p:101-113

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Related research

Keywords: Key words: Long memory; Unit roots; Structural breaks; JEL classification: C22;

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Cited by:
  1. Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," IZA Discussion Papers 6063, Institute for the Study of Labor (IZA).
  2. Carlos Pestana Barros & Luis A. Gil-Alana & James E. Payne, 2011. "An Analysis of Oil Production by OPEC Countries: Persistence, Breaks, and Outliers," Faculty Working Papers 01/11, School of Economics and Business Administration, University of Navarra.
  3. Guglielmo Caporale & Luis Gil-Alana, 2003. "Long memory and structural breaks in hyperinflation countries," Journal of Economics and Finance, Springer, vol. 27(2), pages 136-152, June.

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