The KPSS Test with Two Structural Breaks
AbstractIn this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de?ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in finite samples.
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Bibliographic InfoPaper provided by Universitat de les Illes Balears, Departament d'Economía Aplicada in its series DEA Working Papers with number 13.
Date of creation: Jul 2005
Date of revision:
Stationary tests; structural breaks; unit root.;
Other versions of this item:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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 &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-08 (All new papers)
- NEP-ECM-2006-04-08 (Econometrics)
- NEP-ETS-2006-04-08 (Econometric Time Series)
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