Robust methods for detecting multiple level breaks in autocorrelated time series

Journal of Econometrics - Tập 157 - Trang 342-358 - 2010
David I. Harvey1, Stephen J. Leybourne1, A.M. Robert Taylor1
1Granger Centre for Time Series Econometrics, School of Economics, University of Nottingham, UK

Tài liệu tham khảo

Andrews, 1993, Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821, 10.2307/2951764 Berk, 1974, Consistent autoregressive spectral estimates, Annals of Statistics, 2, 489, 10.1214/aos/1176342709 Bunzel, 2005, 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, 381, 10.1198/073500104000000631 Burridge, 2006, Additive outlier detection via extreme-value theory, Journal of Time Series Analysis, 27, 685, 10.1111/j.1467-9892.2006.00483.x Harvey, 2009, Simple, robust and powerful tests of the breaking trend hypothesis, Econometric Theory, 25, 995, 10.1017/S0266466608090385 Harvey, 2009, Unit root testing in practice: dealing with uncertainty over the trend and initial condition (with commentaries and rejoinder), Econometric Theory, 25, 587, 10.1017/S026646660809018X Kiefer, 2005, A new asymptotic theory for heteroskedasticity-autocorrelation robust tests, Econometric Theory, 21, 1130, 10.1017/S0266466605050565 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. Kuan, 1995, The generalized fluctuation test: a unifying view, Econometric Reviews, 14, 135, 10.1080/07474939508800311 Leisch, 2000, Monitoring structural changes with the generalized fluctuation test, Econometric Theory, 16, 835, 10.1017/S0266466600166022 Perron, 1989, The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712 Perron, 2006, Dealing with structural breaks, 278 Perron, 2003, Searching for additive outliers in non-stationary time series, Journal of Time Series Analysis, 24, 193, 10.1111/1467-9892.00303 Perron, 1992, Testing for a unit root in a time series with a changing mean: corrections and extensions, Journal of Business and Economic Statistics, 10, 467, 10.2307/1391823 Perron, 2009, Estimating deterministic trends with an integrated or stationary noise component, Journal of Econometrics, 151, 56, 10.1016/j.jeconom.2009.03.011 Perron, 2009, Testing for shifts in trend with an integrated or stationary noise component, Journal of Business and Economic Statistics, 27, 369, 10.1198/jbes.2009.07268 Perron, 2005, Structural breaks with deterministic and stochastic trends, Journal of Econometrics, 129, 65, 10.1016/j.jeconom.2004.09.004 Saygınsoy, 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). Stock, 1994, Unit roots, structural breaks and trends, vol. 4, 2739 Stock, 1996, Evidence on structural instability in macroeconomic time series relations, Journal of Business and Economic Statistics, 14, 11, 10.2307/1392096 Stock, 1999, A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series, 1 Vogelsang, 1998, Trend function hypothesis testing in the presence of serial correlation, Econometrica, 66, 123, 10.2307/2998543