Structural Change and the Order of Integration in Univariate Time Series

No 20/05, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: In this article I investigate whether the presence of structural breaks affects inference on the order of integration in univariate time series. For this purpose, we make use of a version of the tests of Robinson (1994) which allows us to test unit and fractional roots in the presence of deterministic changes. Several Monte Carlo experiments conducted across the paper show that the tests perform relatively well in the presence of both mean and slope breaks. The tests are applied to annual data on German real GDP, the results showing that the series may be well described in terms of a fractional model with a structural slope break due to World War II.

JEL-codes: C15 C22 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-11-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published, Computational Economics, 2005, vol. 23(3): pp. 239-254.

Downloads: (external link)
http://www.unav.edu/documents/10174/6546776/1136802720_wp2005.pdf (application/pdf)

Related works:
Journal Article: Structural Change and the Order of Integration in Univariate Time Series (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp2005

Access Statistics for this paper

More papers in Faculty Working Papers from School of Economics and Business Administration, University of Navarra
Bibliographic data for series maintained by ().