The KPSS test with two structural breaks |
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| Authors: | Josep Lluís Carrion-i-Silvestre Andreu Sansó |
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| Affiliation: | (1) Grup de Recerca AQR, Departament d’Econometria, Estadística i Economia Espanyola, Universitat de Barcelona, Barcelona, Spain;(2) Av. Diagonal, 690, 08034 Barcelona, Spain;(3) Department d’Economia Aplicada, Universitat de les Illes Balears, Palma de Mallorca, Spain |
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| Abstract: | In this paper, we generalize the KPSS-type test to allow for two structural breaks. Seven models have been defined depending on the way that structural breaks affect the time series behaviour. The paper derives the limit distribution of the test under both the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in finite samples. Finally, we illustrate the application of the statistics through the analysis of real GDP and real per capita GDP for 22 developed countries. |
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| Keywords: | Stationary tests Structural breaks Unit root GDP |
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