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A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks


  • Ralf Becker
  • Walter Enders
  • Junsoo Lee


. Macroeconomic variables have been shown to display a wide variety of structural breaks of unknown number, duration and form. This poses a challenge since improperly modelled breaks can result in a seriously misspecified model. In this paper, we develop a new test for stationarity that approximates the unknown form of structural breaks using a selected frequency component from a Fourier approximation. Our proposed test performs quite well when breaks are gradual, and shows reasonable power. The appropriate use of the test is illustrated by examining real exchange rates in the post‐Bretton Woods period.

Suggested Citation

  • Ralf Becker & Walter Enders & Junsoo Lee, 2006. "A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 381-409, May.
  • Handle: RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409
    DOI: 10.1111/j.1467-9892.2006.00478.x

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