Structural Change and the Order of Integration in Univariate Time Series

This file is part of IDEAS, which uses RePEc data

Structural Change and the Order of Integration in Univariate Time Series

Author Info

Luis Alberiko Gil-Alana () (Facultad de Ciencias Económicas y Empresariales)

Additional information is available for the following registered author(s):

Luis Alberiko Gil-Alana

Abstract

In 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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 20/05.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 19 pages pages
Date of creation:
Date of revision:
Publication status: Published, Computational Economics, 2005, vol. 23(3): pp. 239-254.
Handle: RePEc:una:unccee:wp2005

Contact details of provider:
Web page: http://www.unav.es/econom

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords:

Other versions of this item:

Article
- Luis A. Gil-Alana, 2004. "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer, vol. 23(3), pages 239-254, 04. [Downloadable!]

Find related papers by JEL classification:
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-2006-01-24 (All new papers)
NEP-ECM-2006-01-24 (Econometrics)
NEP-ETS-2006-01-24 (Econometric Time Series)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September. [Downloadable!] (restricted)
Other versions:
- Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
Other versions:
- Clive Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 1999-14, Department of Economics, UC San Diego. [Downloadable!]
Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October. [Downloadable!] (restricted)
I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996. [Downloadable!]
Other versions:
- Lobato, I.N. & Savin, N.E., 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Working Papers 96-07, University of Iowa, Department of Economics.
- Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 261-68, July.
Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-50, July.
Other versions:
- Lawrence J. Christiano, 1988. "Searching For a Break in GNP," NBER Working Papers 2695, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
Other versions:
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation, Yale University. [Downloadable!]
- Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
Other versions:
- Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-45, June. [Downloadable!] (restricted)
Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December. [Downloadable!] (restricted)
Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
Bhargava, Alok, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Blackwell Publishing, vol. 53(3), pages 369-84, July. [Downloadable!] (restricted)
Gil-Alana, Luis A., 2001. "A fractionally integrated model with a mean shift for the US and the UK real oil prices," Economic Modelling, Elsevier, vol. 18(4), pages 643-658, December. [Downloadable!] (restricted)
Other versions:
- L. Gil-Alana, . "A Fractionally Integrated Model with a Mean Shift for the U.S. and the U.K. Real Oil Prices," Sonderforschungsbereich 373 2000-68, Humboldt Universitaet Berlin.
Hidalgo, Javier & Robinson, Peter M., 1996. "Testing for structural change in a long-memory environment," Journal of Econometrics, Elsevier, vol. 70(1), pages 159-174, January. [Downloadable!] (restricted)

Full references

Statistics
Access and download statistics

Did you know? Cannot find something on IDEAS? Encourage the publisher to index it! Instructions.

This page was last updated on 2009-12-15.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.