Template-Type: ReDIF-Paper 1.0
Author-Name:  Nuno Sobreira
Author-Name-First: Nuno
Author-Name-Last: Sobreira
Author-Name:  Luis C. Nunes
Author-Name-First: Luis C.
Author-Name-Last: Nunes
Title: Tests for Multiple Breaks in the Trend with Stationary or Integrated Shocks
Abstract:  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 behavior of the proposed tests is studied through Monte Carlo experiments. We illustrate the applicability of the proposed tests to long historical time series of various U.S. macroeconomic time series.
Length:  41 pages
Creation-Date:  2012
Order-URL: https://repositorio.insper.edu.br/handle/11224/5929
File-URL: https://repositorio.insper.edu.br/handle/11224/5929
File-Format: text/html
File-Function: Full text
Number: 171
Handle: RePEc:aap:wpaper:171