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A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component

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Cited by:

  1. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," Working Papers halshs-00564897, HAL.
  2. Mohitosh Kejriwal, 2020. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 669-685, June.
  3. Marcos Sanso-Navarro, 2012. "Broken trend stationarity of hours worked," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3955-3964, October.
  4. Skrobotov Anton, 2018. "On Trend Breaks and Initial Condition in Unit Root Testing," Journal of Time Series Econometrics, De Gruyter, vol. 10(1), pages 1-15, January.
  5. Mar'ia Jos'e Presno & Manuel Landajo & Paula Fern'andez Gonz'alez, 2024. "Stochastic convergence in per capita CO$_2$ emissions. An approach from nonlinear stationarity analysis," Papers 2402.00567, arXiv.org.
  6. Olesia Kozlova & Jose Noguera-Santaella, 2019. "Are Asian Dragons and Tigers catching up?," Empirical Economics, Springer, vol. 57(2), pages 589-601, August.
  7. Skrobotov, Anton (Скроботов, Антон), 2015. "About Trend, the Shift and the Initial Value in Testing of the Hypothesis of a Unit Root [О Тренде, Сдвиге И Начальном Значении В Тестировании Гипотезы О Наличии Единичного Корня]," Published Papers mak6, Russian Presidential Academy of National Economy and Public Administration.
  8. Kurozumi Eiji, 2015. "Testing for Multiple Structural Changes with Non-Homogeneous Regressors," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 1-35, January.
  9. Luc Doyen & Sébastien Lavaud & Anne-Sophie Masure, 2017. "RMA newsletter Spring 2017," Post-Print hal-02196591, HAL.
  10. Josep Lluís Carrion‐i‐Silvestre & María Dolores Gadea & Antonio Montañés, 2021. "Nearly Unbiased Estimation of Autoregressive Models for Bounded Near‐Integrated Stochastic Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(1), pages 273-297, February.
  11. Mishra, Vinod & Smyth, Russell, 2017. "Conditional convergence in Australia's energy consumption at the sector level," Energy Economics, Elsevier, vol. 62(C), pages 396-403.
  12. Constantine Angyridis & Leo Michelis, 2021. "Structural breaks, debt limits and the tax smoothing hypothesis: theory and evidence from the OECD countries," Empirical Economics, Springer, vol. 60(3), pages 1283-1307, March.
  13. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
  14. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2013. "Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics," Journal of Econometrics, Elsevier, vol. 177(2), pages 265-284.
  15. Nuno Sobreira & Luis C. Nunes & Paulo M. M. Rodrigues, 2014. "Characterizing Economic Growth Paths Based On New Structural Change Tests," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 845-861, April.
  16. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2010. "Robust methods for detecting multiple level breaks in autocorrelated time series," Journal of Econometrics, Elsevier, vol. 157(2), pages 342-358, August.
  17. Presno, María José & Landajo, Manuel & Fernández González, Paula, 2018. "Stochastic convergence in per capita CO2 emissions. An approach from nonlinear stationarity analysis," Energy Economics, Elsevier, vol. 70(C), pages 563-581.
  18. Bataa, Erdenebat & Izzeldin, Marwan & Osborn, Denise R., 2016. "Changes in the global oil market," Energy Economics, Elsevier, vol. 56(C), pages 161-176.
  19. Mohitosh Kejriwal & Claude Lopez, 2013. "Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 892-927, November.
  20. László KÓNYA, 2023. "Per Capita Income Convergence and Divergence of Selected OECD Countries to and from the US: A Reappraisal for the period 1900-2018," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 23(1), pages 33-56.
  21. Marcos Sanso-Navarro & María Vera-Cabello, 2020. "Income Inequality and Persistence Changes," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(2), pages 495-511, November.
  22. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2019. "How resilient is La Réunion in terms of international tourism attractiveness: an assessment from unit root tests with structural breaks from 1981-2015," Applied Economics, Taylor & Francis Journals, vol. 51(24), pages 2639-2653, May.
  23. Kohei Aono & Tokuo Iwaisako, 2010. "On the Predictability of Japanese Stock Returns Using Dividend Yield," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(2), pages 141-149, June.
  24. FATUM, Rasmus & YAMAMOTO, Yohei & CHEN, Binwei, 2023. "The Trend Effect of Foreign Exchange Intervention," Discussion paper series HIAS-E-132, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  25. Zerbo, Eléazar & Darné, Olivier, 2019. "On the stationarity of CO2 emissions in OECD and BRICS countries: A sequential testing approach," Energy Economics, Elsevier, vol. 83(C), pages 319-332.
  26. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Unit root testing under a local break in trend," Journal of Econometrics, Elsevier, vol. 167(1), pages 140-167.
  27. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
  28. Awaworyi Churchill, Sefa & Inekwe, John & Ivanovski, Kris, 2020. "Stochastic convergence in per capita CO2 emissions: Evidence from emerging economies, 1921–2014," Energy Economics, Elsevier, vol. 86(C).
  29. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
  30. Easaw, Joshy & Ghoshray, Atanu, 2023. "On the trend and variability of 18th century British Transatlantic slave prices," Cardiff Economics Working Papers E2023/29, Cardiff University, Cardiff Business School, Economics Section.
  31. Omid Ranjbar & Xiao-Lin Li & Tsangyao Chang & Chien-Chiang Lee, 2015. "Stability of long-run growth in East Asian countries: New evidence from panel stationarity test with structural breaks," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 24(4), pages 570-589, June.
  32. Arsova, Antonia & Karaman Örsal, Deniz Dilan, 2021. "A panel cointegrating rank test with structural breaks and cross-sectional dependence," Econometrics and Statistics, Elsevier, vol. 17(C), pages 107-129.
  33. Manuel Landajo & Mar'ia Jos'e Presno, 2024. "The prices of renewable commodities: A robust stationarity analysis," Papers 2402.01005, arXiv.org.
  34. Alexeev, Vitali & Maynard, Alex, 2012. "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3322-3344.
  35. Anton Skrobotov, 2015. "Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(2), pages 254-273, April.
  36. Lei Pan & Svetlana Maslyuk-Escobedo, 2019. "Stochastic convergence in per capita energy consumption and its catch-up rate: evidence from 26 African countries," Applied Economics, Taylor & Francis Journals, vol. 51(24), pages 2566-2590, May.
  37. Petrenko, Victoria (Петренко, ВИктория) & Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Maria (Турунцева, Мария), 2016. "Testing of Changes in Persistence and Their Effect on the Forecasting Quality [Тестирование Изменения Инерционности И Влияние На Качество Прогнозов]," Working Papers 542, Russian Presidential Academy of National Economy and Public Administration.
  38. Erdenebat Bataa & Andrew Vivian & Mark Wohar, 2019. "Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014," Bulletin of Economic Research, Wiley Blackwell, vol. 71(4), pages 616-640, October.
  39. Presno, María José & Landajo, Manuel & Fernández, Paula, 2012. "Non-renewable resource prices. A robust evaluation from the stationarity perspective," MPRA Paper 42523, University Library of Munich, Germany.
  40. Manuel Landajo & María José Presno, 2022. "The prices of renewable commodities: a robust stationarity analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 447-470, April.
  41. Ghoshray, A., 2018. "The Dynamic Properties of Natural Resource Prices," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277210, International Association of Agricultural Economists.
  42. Ghoshray, Atanu & Ordóñez, Javier & Sala, Hector, 2016. "Euro, crisis and unemployment: Youth patterns, youth policies?," Economic Modelling, Elsevier, vol. 58(C), pages 442-453.
  43. Jingjing Yang, 2017. "Consistency of Trend Break Point Estimator with Underspecified Break Number," Econometrics, MDPI, vol. 5(1), pages 1-19, January.
  44. Ghoshray, Atanu & Kejriwal, Mohitosh & Wohar, Mark E., 2011. "Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 120387, European Association of Agricultural Economists.
  45. Liddle, Brantley & Messinis, George, 2015. "Revisiting sulfur Kuznets curves with endogenous breaks modeling: Substantial evidence of inverted-Us/Vs for individual OECD countries," Economic Modelling, Elsevier, vol. 49(C), pages 278-285.
  46. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2021. ""Detecting multiple level shifts in bounded time series"," IREA Working Papers 202115, University of Barcelona, Research Institute of Applied Economics, revised Jul 2021.
  47. Sahbi FARHANI, 2012. "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 246-266.
  48. Noguera-Santaella, José, 2016. "Geopolitics and the oil price," Economic Modelling, Elsevier, vol. 52(PB), pages 301-309.
  49. Miguel Martín-Retortillo & Vicente Pinilla & Jackeline Velazco & Henry Willebald, 2016. "The dynamics of latin american agricultural production growth, 1950-2008," Documentos de Trabajo (DT-AEHE) 1610, Asociación Española de Historia Económica.
  50. Haydory Akbar Ahmed & Tareque Nasser, 2023. "Long-run relationship between the unemployment rate and the current account balance in the United States: An empirical analysis," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(3), pages 397-416, September.
  51. Atanu Ghoshray & Faiza Khan, 2015. "New empirical evidence on income convergence," Empirical Economics, Springer, vol. 49(1), pages 343-361, August.
  52. Atanu Ghoshray & Ashira Perera, 2016. "An Empirical Study of Commodity Prices after Sir Arthur Lewis," Manchester School, University of Manchester, vol. 84(4), pages 551-571, July.
  53. Atanu Ghoshray & Issam Malki & Javier Ordóñez, 2022. "On the long-run dynamics of income and wealth inequality," Empirical Economics, Springer, vol. 62(2), pages 375-408, February.
  54. Addison, Tony & Ghoshray, Atanu, 2023. "Discerning trends in international metal prices in the presence of nonstationary volatility," Resource and Energy Economics, Elsevier, vol. 71(C).
  55. Brantley Liddle & George Messinis, 2018. "Revisiting carbon Kuznets curves with endogenous breaks modeling: evidence of decoupling and saturation (but few inverted-Us) for individual OECD countries," Empirical Economics, Springer, vol. 54(2), pages 783-798, March.
  56. Ghoshray Atanu & Kejriwal Mohitosh & Wohar Mark, 2014. "Breaks, trends and unit roots in commodity prices: a robust investigation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 23-40, February.
  57. Noguera, José, 2017. "The Seven Sisters versus OPEC: Solving the mystery of the petroleum market structure," Energy Economics, Elsevier, vol. 64(C), pages 298-305.
  58. Atanu Ghoshray, 2018. "How Persistent are Shocks to Energy Prices?," The Energy Journal, , vol. 39(1_suppl), pages 175-192, June.
  59. Vasudeva N. R. Murthy & Natalya Ketenci, 2017. "Is technology still a major driver of health expenditure in the United States? Evidence from cointegration analysis with multiple structural breaks," International Journal of Health Economics and Management, Springer, vol. 17(1), pages 29-50, March.
  60. Mario Gómez Aguirre & José Carlos A. Rodríguez Chávez, 2012. "Análisis de la paridad del poder de compra: evidencia empírica entre México y Estados Unidos," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 169-207.
  61. Anton Skrobotov, 2014. "A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time," Working Papers 0102, Gaidar Institute for Economic Policy, revised 2014.
  62. Ahmed Qahtan, Anwar Saeed & Xu, Helian & Abdo, AL-Barakani, 2021. "Stochastic convergence of disaggregated energy consumption per capita and its catch-up rate: An independent analysis of MENA net oil-exporting and importing countries," Energy Policy, Elsevier, vol. 150(C).
  63. Noguera, José, 2013. "Oil prices: Breaks and trends," Energy Economics, Elsevier, vol. 37(C), pages 60-67.
  64. Valadkhani, Abbas & Smyth, Russell & Nguyen, Jeremy, 2019. "Effects of primary energy consumption on CO2 emissions under optimal thresholds: Evidence from sixty countries over the last half century," Energy Economics, Elsevier, vol. 80(C), pages 680-690.
  65. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]," Discussion Papers 09/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  66. James E Payne & Junsoo Lee, 2024. "Global perspective on the permanent or transitory nature of shocks to tourist arrivals: Evidence from new unit root tests with structural breaks and factors," Tourism Economics, , vol. 30(1), pages 67-103, February.
  67. Ioanna Konstantakopoulou, 2017. "The aggregate exports-GDP relation under the prism of infrequent trend breaks and multi-horizon causality," International Economics and Economic Policy, Springer, vol. 14(4), pages 661-689, October.
  68. Meng Ming & Lee Junsoo & Payne James E., 2017. "RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 31-45, February.
  69. Nuno Sobreira & Luis C. Nunes, 2016. "Tests for Multiple Breaks in the Trend with Stationary or Integrated Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(3), pages 394-411, June.
  70. Salamaliki, Paraskevi K. & Venetis, Ioannis A., 2013. "Energy consumption and real GDP in G-7: Multi-horizon causality testing in the presence of capital stock," Energy Economics, Elsevier, vol. 39(C), pages 108-121.
  71. Harvey, David I. & Kellard, Neil M. & Madsen, Jakob B. & Wohar, Mark E., 2017. "Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day," World Development, Elsevier, vol. 89(C), pages 57-70.
  72. Pierre Perron, 2017. "Unit Roots and Structural Breaks," Econometrics, MDPI, vol. 5(2), pages 1-3, May.
  73. Valadkhani, Abbas & Nguyen, Jeremy & Smyth, Russell, 2018. "Consumer electricity and gas prices across Australian capital cities: Structural breaks, effects of policy reforms and interstate differences," Energy Economics, Elsevier, vol. 72(C), pages 365-375.
  74. Presno, María José & Landajo, Manuel & Fernández, Paula, 2014. "Non-renewable resource prices: A robust evaluation from the stationarity perspective," Resource and Energy Economics, Elsevier, vol. 36(2), pages 394-416.
  75. José Noguera-Santaella, 2017. "Is Sub-Saharan Africa catching up?," Empirical Economics, Springer, vol. 52(2), pages 555-575, March.
  76. Pierre Perron & Eduardo Zorita & Francisco Estrada & Pierre Perron, 2017. "Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 711-732, September.
  77. Lei Pan & Svetlana Maslyuk-Escobedo, 2017. "Stochastic convergence in per capita energy consumption and its catch-up rate: Evidence from 26 African countries," Monash Economics Working Papers 16-17, Monash University, Department of Economics.
  78. Awaworyi-Churchill, Sefa & Inekwe, John & Ivanovski, Kris & Smyth, Russell, 2022. "Breaks, trends and correlations in commodity prices in the very long-run," Energy Economics, Elsevier, vol. 108(C).
  79. Lin, Zhibin & You, Kefei & Lau, Chi Keung & Demir, Ender, 2019. "Segmenting global tourism markets: A panel club convergence approach," Annals of Tourism Research, Elsevier, vol. 75(C), pages 165-185.
  80. Sun, Jingwei & Shi, Wendong, 2015. "Breaks, trends, and unit roots in spot prices for crude oil and petroleum products," Energy Economics, Elsevier, vol. 50(C), pages 169-177.
  81. Sobreira, Nuno & Nunesz, Luis C. & Rodriguesz, Paulo M. M., 2012. "Neoclassical, semi-endogenous or endogenous growth theory? Evidence based on new structural change tests," Insper Working Papers wpe_291, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  82. Emanuele Russo & Neil Foster-McGregor, 2022. "Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories," Journal of Evolutionary Economics, Springer, vol. 32(2), pages 713-756, April.
  83. Awaworyi Churchill, Sefa & Inekwe, John & Ivanovski, Kris & Smyth, Russell, 2020. "Stationarity properties of per capita CO2 emissions in the OECD in the very long-run: A replication and extension analysis," Energy Economics, Elsevier, vol. 90(C).
  84. David Harvey & Neil Kellard & Jakob Madsen & Mark Wohar, 2012. "Trends and Cycles in Real Commodity Prices: 1650-2010," CEH Discussion Papers 010, Centre for Economic History, Research School of Economics, Australian National University.
  85. You, Kefei & Sarantis, Nicholas, 2012. "Structural breaks and the equilibrium real effective exchange rate of China: A NATREX approach," China Economic Review, Elsevier, vol. 23(4), pages 1146-1163.
  86. Noriega Antonio E. & Rodríguez-Pérez Cid Alonso, 2011. "Stationarity, structural breaks, and economic growth in Mexico: 1895-2008," Working Papers 2011-11, Banco de México.
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