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

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dc.contributor.authorSobreira, Nuno Ricardo Martins
dc.contributor.authorNunes, Luis C.
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorSobreira, Nuno Ricardo Martins
dc.creatorNunes, Luis C.
dc.date.accessioned2023-07-24T19:57:58Z
dc.date.available2023-07-24T19:57:58Z
dc.date.issued2012
dc.description.abstractIn 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 behavior of the proposed tests is studied through Monte Carlo experiments. We illustrate the applicability of the proposed tests to long historical time series of various U.S. macroeconomic time series.
dc.description.otherIn 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 behavior of the proposed tests is studied through Monte Carlo experiments. We illustrate the applicability of the proposed tests to long historical time series of various U.S. macroeconomic time series.pt_BR
dc.format.extent40 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 171/2012
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5929
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsStructural Changept_BR
dc.subject.keywordsTrend Breakspt_BR
dc.subject.keywordsStationaritypt_BR
dc.subject.keywordsUnit Rootpt_BR
dc.titleTests for Multiple Breaks in the Trend with Stationary or Integrated Shockspt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

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