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- Title
A joint test of fractional integration and structural breaks at a known period of time.
- Authors
Gil-Alana, Luis A.
- 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 tests. The tests are applied to the annual structure of the US real GDP, the results showing that the series is I( d) with d≥1, and with a break due to the World War II.
- Subjects
FRACTIONAL integrals; INTEGRALS; MONTE Carlo method; NUMERICAL analysis; STOCHASTIC processes; MATHEMATICAL models
- Publication
Journal of Time Series Analysis, 2004, Vol 25, Issue 5, p691
- ISSN
0143-9782
- Publication type
Article
- DOI
10.1111/j.1467-9892.2004.01882.x