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Fractional integration and structural breaks at unknown periods of time
Author(s) -
GilAlana Luis A.
Publication year - 2008
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2007.00550.x
Subject(s) - mathematics , monte carlo method , context (archaeology) , sample (material) , least squares function approximation , series (stratigraphy) , linear regression , statistics , regression , grid , econometrics , geometry , paleontology , chemistry , chromatography , estimator , biology
. 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.