The KPSS test with two structural breaks
نویسندگان
چکیده
منابع مشابه
The KPSS test with two structural breaks
In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in nite samples. Keywords:...
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ژورنال
عنوان ژورنال: Spanish Economic Review
سال: 2006
ISSN: 1435-5469,1435-5477
DOI: 10.1007/s10108-006-9017-8