Fractional integration and structural breaks at unknown periods of time

Luis A. Gil-Alana

251 citations0/0 files storedJournal of Time Series Analysis

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Complex Systems and Time Series Analysis Monetary Policy and Economic Impact Statistical and numerical algorithms

Abstract

Abstract. This article 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 study show that the procedure performs well if the sample size is large enough. Two empirical applications are described at the end of the article.

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References

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1995Gaussian Semiparametric Estimation of Long Range Dependence 1980Long memory relationships and the aggregation of dynamic models 2001Long memory and regime switching 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence 1994Efficient Tests of Nonstationary Hypotheses

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