English, Article, Journal or magazine article edition: A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component Mohitosh Kejriwal; Pierre Perron

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Bookmark: http://trove.nla.gov.au/version/76564
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component
Author
  • Mohitosh Kejriwal
  • Pierre Perron
Physical Description
  • preprint
Notes
  • RePEc:pur:prukra:1217
  • Perron and Yabu (2008) consider the problem of testing for a break occuring at an unknown date in the trend function of a univariate time series when the noise component can be either stationary or integrated. This paper extends their work by proposing a sequential test that allows one to test the null hypothesis of, say, l breaks, versus the alternative hypothesis of (l+1) breaks. The test enables consistent estimation of the number of breaks. In both stationary and integrated cases, it is shown that asymptotic critical values can be obtained from the relevant quantiles of the limit distribution of the test for a single break. Monte Carlo simulations suggest that the procedure works well in finite samples.
  • Structural Change, Sequential Procedure, Feasible GLS, Unit Root, Structural Breaks
  • RePEc:bos:wpaper:wp2009-005
Language
  • English
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