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Tests for Multiple Breaks in the Trend with Stationary or Integrated Shocks
Author(s) -
Sobreira Nuno,
Nunes Luis C.
Publication year - 2016
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/obes.12116
Subject(s) - univariate , unit root , series (stratigraphy) , monte carlo method , econometrics , statistical physics , statistics , mathematics , multivariate statistics , physics , geology , paleontology
In this paper, we propose new tests of the presence of multiple breaks in the trend of a univariate time‐series where the number and dates of the breaks are unknown and that are valid in the presence of stationary or unit root shocks. These tests can also be used to sequentially estimate the number of breaks. The behaviour of the proposed tests is studied through Monte Carlo experiments.