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Fractional integration and structural breaks at unknown periods of time

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  • Luis A. Gil‐Alana

Abstract

. This article 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 study show that the procedure performs well if the sample size is large enough. Two empirical applications are described at the end of the article.

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  • 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, January.
  • Handle: RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185
    DOI: 10.1111/j.1467-9892.2007.00550.x
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