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Fractional integration and structural breaks at unknown periods of time

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  • Luis A. Gil-Alana

    (University of Navarra)

Abstract

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

Suggested Citation

  • Luis A. Gil-Alana, 2006. "Fractional integration and structural breaks at unknown periods of time," Faculty Working Papers 16/06, School of Economics and Business Administration, University of Navarra.
    • Handle: RePEc:una:unccee:wp1606
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