Structural breaks with deterministic and stochastic trends

DOI10.1016/j.jeconom.2004.09.004zbMath1337.62238MaRDI QIDQ265106

Pierre Perron, Xiaokang Zhu

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.004

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

Related Items

Joint hypothesis specification for unit root tests with a structural break, Modelling structural breaks, long memory and stock market volatility: an overview, Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point, The limit distribution of the estimates in cointegrated regression models with multiple structural changes, Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses, Bayesian multiple structural change-points estimation in time series models with genetic algorithm, Truncating estimation for the change in stochastic trend with heavy-tailed innovations, Structural changes and unit roots in non-stationary time series, Robust methods for detecting multiple level breaks in autocorrelated time series, Estimating a common deterministic time trend break in large panels with cross sectional dependence, Unit root testing under a local break in trend, Uniform change point tests in high dimension, Detection and attribution of climate change through econometric methods, An omnibus test to detect time-heterogeneity in time series, Confidence sets for the date of a break in level and trend when the order of integration is unknown, Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics, Inference on a Structural Break in Trend with Fractionally Integrated Errors, ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION, Break point estimators for a slope shift: levels versus first differences, Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model, A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series, TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY, TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS, A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component, SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS, A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend, Spurious Instrumental Variables, TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND, GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES

Cites Work

• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotics for linear processes
• On asymptotic distribution theory in segmented regression problems - identified case
• Tests of cointegrating rank with trend-break
• Further evidence on breaking trend functions in macroeconomic variables
• Structural changes in the cointegrated vector autoregressive model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Testing for a unit root in time series regression
• Testing for the Constancy of Parameters Over Time
• Testing For and Dating Common Breaks in Multivariate Time Series
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Some tests for parameter constancy in cointegrated VAR‐models
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis