Tests for Multiple Breaks in the Trend with Stationary or Integrated Shocks

被引：5
|
作者：
Sobreira, Nuno [1 ,2 ]
Nunes, Luis C. [3 ]
机构：
[1] Univ Lisbon, CEMAPRE, P-1699 Lisbon, Portugal
[2] Univ Lisbon, Sch Econ & Management ISEG, P-1699 Lisbon, Portugal
[3] Univ Nova Lisboa, Nova Sch Business & Econ, P-1200 Lisbon, Portugal
来源：
OXFORD BULLETIN OF ECONOMICS AND STATISTICS | 2016年 / 78卷 / 03期
关键词：
CONSISTENT COVARIANCE-MATRIX; SERIAL-CORRELATION; STRUCTURAL-CHANGES; NOISE COMPONENT; TIME-SERIES; UNIT-ROOT; HYPOTHESIS; ROBUST; HETEROSKEDASTICITY; MODELS;
D O I：
10.1111/obes.12116
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 behaviour of the proposed tests is studied through Monte Carlo experiments.
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页码：394 / 411
页数：18
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