The KPSS Test with Two Structural Breaks

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The KPSS Test with Two Structural Breaks

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Josep Lluís Carrion-i-Silvestre ()
Andreu Sansó ()

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Abstract

In 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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Paper provided by Universitat de les Illes Balears, Departament d'Economía Aplicada in its series DEA Working Papers with number 13.

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Date of creation: Jul 2005
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Handle: RePEc:ubi:deawps:13

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Article
- Josep Carrion-i-Silvestre & Andreu Sansó, 2007. "The KPSS test with two structural breaks," Spanish Economic Review, Springer, vol. 9(2), pages 105-127, June. [Downloadable!] (restricted)

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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)

References listed on IDEAS
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Other versions:
- Dan Ben-David & David H. Papell, 1997. "Slowdowns and Meltdowns: Postwar Growth Evidence from 74 Countries," NBER Working Papers 6266, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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