A Joint Test of Fractional Integration and Structural Breaks at a Known Period of Time

10 Pages Posted: 7 Sep 2004

See all articles by Luis A. Gil-Alana

Luis A. Gil-Alana

University of Navarra - Department of Economics

Abstract

We propose the use of a version of the tests of Robinson [Journal of the American Statistical Association, 89 (1994) 1420] for testing the order of integration in raw time series in the presence of structural breaks at known periods of time. Also, a joint test for simultaneously testing the degree of integration and the need for the break is developed. Several Monte Carlo experiments conducted in the paper show that the joint test has better size and power properties relative to Robinson's (1994) tests. The tests are applied to the annual structure of the US real GDP, the results showing that the series is I(d is greater than, or equal to 1), and with a break due to the World War II.

Suggested Citation

Gil-Alana, Luis A., A Joint Test of Fractional Integration and Structural Breaks at a Known Period of Time. Available at SSRN: https://ssrn.com/abstract=573016

Luis A. Gil-Alana (Contact Author)

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

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