07/01/2013
Ano: 2012
Código: WPE – 290
Autores/Pesquisadores:
Abstract:
In 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.
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