A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component

DOI10.1111/J.1467-9892.2010.00666.XzbMath1416.62502OpenAlexW3122548310MaRDI QIDQ3103186

Mohitosh Kejriwal, Pierre Perron

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00666.x

zbMATH Keywords

unit rootstructural changesequential procedurestructural breaksfeasible GLS

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (8)

Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation ⋮ Localized level crossing random walk test robust to the presence of structural breaks ⋮ Testing for multiple structural changes with non-homogeneous regressors ⋮ RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis ⋮ Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics ⋮ Robust methods for detecting multiple level breaks in autocorrelated time series ⋮ Unit root testing under a local break in trend ⋮ WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE

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