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Inference on a Structural Break in Trend with Fractionally Integrated Errors

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  • Seongyeon Chang

    (Boston University)

  • Pierre Perron

    (Boston University)

Abstract

Perron and Zhu (2005) established the consistency, rate of convergence, and the limiting distributions of parameter estimates in a linear time trend with a change in slope with or without a concurrent change in level. They considered the dichotomous cases whereby the errors are short-memory, I(0), or have an autoregressive unit root, I(1). We extend their analysis to cover the more general case of fractionally integrated errors for values of d in the interval (

Suggested Citation

  • Seongyeon Chang & Pierre Perron, 2013. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series 2013-020, Boston University - Department of Economics.
    • Handle: RePEc:bos:wpaper:wp2013-020
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    Citations

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    Cited by:

    1. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2018. "A simple test on structural change in long-memory time series," Economics Letters, Elsevier, vol. 163(C), pages 90-94.
    2. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    3. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, vol. 5(1), pages 1-26, January.
    4. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    5. Zongwu Cai & Seong Yeon Chang, 2018. "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201811, University of Kansas, Department of Economics, revised Dec 2018.
    6. Carina Gerstenberger, 2021. "Robust discrimination between long‐range dependence and a change in mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 34-62, January.
    7. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
    8. Pierre Perron, 2017. "Unit Roots and Structural Breaks," Econometrics, MDPI, vol. 5(2), pages 1-3, May.

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    More about this item

    Keywords

    long-memory; segmented trend; structural change; spurious break; linear trend.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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