Robust methods for detecting multiple level breaks in autocorrelated time series

Journal of Econometrics

Volumn 157, Issue 2, 2010, Pages 342-358

  Harvey, David I ^a   Leybourne, Stephen J ^a   Taylor, A M Robert ^a  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Breakpoint estimation; Level breaks; Long run variance estimation; Moving means; Robust tests; Unit root

Indexed keywords

BREAKPOINT; BREAKPOINT ESTIMATION; LONG-RUN VARIANCE ESTIMATION; ROBUST TESTS; UNIT ROOT;

ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; ESTIMATION; MONTE CARLO METHODS; TIME SERIES;

STATISTICAL TESTS;

EID: 77953727830     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.02.003     Document Type: Article

References (22)

1. Andrews D.W.K. Tests for parameter instability and structural change with unknown change point. Econometrica 61 (1993) 821-856
2. Berk K.N. Consistent autoregressive spectral estimates. Annals of Statistics 2 (1974) 489-502
3. Bunzel H., and Vogelsang T.J. Powerful trend function tests that are robust to strong serial correlation, with an application to the Prebisch-Singer hypothesis. Journal of Business and Economic Statistics 23 (2005) 381-394
4. Burridge P., and Taylor A.M.R. Additive outlier detection via extreme-value theory. Journal of Time Series Analysis 27 (2006) 685-701
5. Harvey D.I., Leybourne S.J., and Taylor A.M.R. Simple, robust and powerful tests of the breaking trend hypothesis. Econometric Theory 25 (2009) 995-1029
6. Harvey D.I., Leybourne S.J., and Taylor A.M.R. Unit root testing in practice: dealing with uncertainty over the trend and initial condition (with commentaries and rejoinder). Econometric Theory 25 (2009) 587-667
7. Kiefer N.M., and Vogelsang T.J. A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Econometric Theory 21 (2005) 1130-1164
8. Kejriwal, M., Perron, P., 2009. A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. Manuscript, Department of Economics, Boston University.
9. Kuan C.-M., and Hornik K. The generalized fluctuation test: a unifying view. Econometric Reviews 14 (1995) 135-161
10. Leisch F., Hornik K., and Kuan C.-M. Monitoring structural changes with the generalized fluctuation test. Econometric Theory 16 (2000) 835-854
11. Perron P. The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57 (1989) 1361-1401
12. Perron P. Dealing with structural breaks. In: Patterson K., and Mills T.C. (Eds). Palgrave Handbook of Econometrics, Vol. 1: Econometric Theory (2006), Palgrave Macmillan 278-352
13. Perron P., and Rodríguez G. Searching for additive outliers in non-stationary time series. Journal of Time Series Analysis 24 (2003) 193-220
14. Perron P., and Vogelsang T. Testing for a unit root in a time series with a changing mean: corrections and extensions. Journal of Business and Economic Statistics 10 (1992) 467-470
15. Perron P., and Yabu T. Estimating deterministic trends with an integrated or stationary noise component. Journal of Econometrics 151 (2009) 56-69
16. Perron P., and Yabu T. Testing for shifts in trend with an integrated or stationary noise component. Journal of Business and Economic Statistics 27 (2009) 369-396
17. Perron P., and Zhu X. Structural breaks with deterministic and stochastic trends. Journal of Econometrics 129 (2005) 65-119
18. Saygi{dotless}nsoy, O., Vogelsang, T., 2010. Testing for a shift in trend at an unknown date: a fixed-b analysis of heteroskedasticity autocorrelation robust OLS based tests. Econometric Theory (forthcoming).
19. Stock J.H. Unit roots, structural breaks and trends. In: Engle R.F., and McFadden D.L. (Eds). Handbook of Econometrics vol. 4 (1994), Elsevier Science 2739-2840
20. Stock J.H., and Watson M.W. Evidence on structural instability in macroeconomic time series relations. Journal of Business and Economic Statistics 14 (1996) 11-30
21. Stock J.H., and Watson M.W. A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series. In: Engle R.F., and White H. (Eds). Cointegration, Causality and Forecasting: A Festschrift in Honour of Clive W.J. Granger (1999), Oxford University Press 1-44
22. Vogelsang T.J. Trend function hypothesis testing in the presence of serial correlation. Econometrica 66 (1998) 123-148