Fractional integration and structural breaks at unknown periods of time
AbstractThis paper deals with the analysis of structural breaks in the context of fractionally integrated models. We assume that the break dates are unknown and that the different sub-samples possess different intercepts, slope coefficients and fractional orders of integration. The procedure is based on linear regression models using a grid of values for the fractional differencing parameters and least squares estimation. Several Monte Carlo experiments conducted across the paper show that the procedure performs well if the sample size is large enough. Two empirical applications are carried out at the end of the article.
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Bibliographic InfoPaper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 16/06.
Length: 35 pages
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Publication status: Published in Journal of Time Series Analysis 29 (1), 163-185 (2008)
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Web page: http://www.unav.es/facultad/econom
Other versions of this item:
- Luis A. Gil-Alana, 2008. "Fractional integration and structural breaks at unknown periods of time," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 163-185, 01.
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