Testing for multiple level shifts in I(0) and I(1) stochastic processes

Josep Carrion-i-Silvestre and María Gadea ()

No 8702, EcoMod2015 from EcoMod

Abstract: The paper analyzes the detection and estimation of multiple level shifts regardless of the order of integration of the time series. We show that it is possible to extend the sequential testing procedure of Bai and Perron (1998) to the I(1) non-stationary case so that a unified framework based on this approach can be applied. The performance of the test statistic is carried out, establishing a comparison with other existing proposals in the literature.Developing of a sup test statistic for detecting multiple leve shifts for I(1) processes.Simulations are reported on the finite sample performance of the statistic. Further details in the uploaded paper.

Keywords: No empirical application in the paper.; Macroeconometric modeling; Modeling: new developments (search for similar items in EconPapers)
Date: 2015-07-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:ekd:008007:8702

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