Robust methods for detecting multiple level breaks in autocorrelated time series

DOI10.1016/J.JECONOM.2010.02.003zbMath1431.62383OpenAlexW2006923385MaRDI QIDQ736530

A. M. Robert Taylor, Stephen J. Leybourne, David I. Harvey

Publication date: 4 August 2016

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

Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/10-01.pdf

zbMATH Keywords

unit rootrobust testsbreakpoint estimationlevel breakslong run variance estimationmoving means

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation ⋮ Bounds, Breaks and Unit Root Tests ⋮ Structural breaks in time series ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ Confidence sets for the date of a break in level and trend when the order of integration is unknown

Cites Work

• Structural breaks with deterministic and stochastic trends
• Consistent autoregressive spectral estimates
• Estimating deterministic trends with an integrated or stationary noise component
• MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
• 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
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Additive Outlier Detection Via Extreme-Value Theory
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The generalized fluctuation test: A unifying view

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