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Testing For and Dating Common Breaks in Multivariate Time Series

Listed author(s):
  • Jushan Bai
  • Robin L. Lumsdaine
  • James H. Stock

This paper develops methods for constructing asymptotically valid confidence intervals for the date of a single break in multivariate time series, including I(0), I(1), and deterministically trending regressors. Although the width of the asymptotic confidence interval does not decrease as the sample size increases, it is inversely related to the number of series which have a common break date, so there are substantial gains to multivariate inference about break dates. These methods are applied to two empirical examples: the mean growth rate of output in three European countries, and the mean growth rate of U.S. consumption, investment, and output.

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File URL: http://hdl.handle.net/10.1111/1467-937X.00051
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Article provided by Oxford University Press in its journal The Review of Economic Studies.

Volume (Year): 65 (1998)
Issue (Month): 3 ()
Pages: 395-432

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Handle: RePEc:oup:restud:v:65:y:1998:i:3:p:395-432.
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