Seasonal fractional integration with structural break. An application to the German GNP data
This paper deals with the analysis of the German nominal GNP quarterly data (1973q1 – 1996q4) using a new approach based on seasonal fractional integration that allows us to incorporate a structural break that is endogenously determined by the model. The results show that the break occurs at 1990q2, the time of the German re-unification, and the order of integration is slightly above 1 before the break, and strictly smaller than 1 (though highly persistent) after the unification.
Volume (Year): 3 (2007)
Issue (Month): 32 ()
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- Perron, P. & Bai, J., 1995.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Cahiers de recherche
9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
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