Testing for multiple level shifts with an integrated or stationary noise component
Bibliographic Data
| ID | 21653577 |
|---|---|
| Authors | Josep Lluís Carrion‐i‐Silvestre (0000-0003-2733-7677, AQR‐IREA Research Group, Department of Econometrics, Statistics, and Applied Economics University of Barcelona Barcelona Spain, corresponding author), María Dolores Gadea (Department of Applied Economics University of Zaragoza Zaragoza Spain), María Dolores Gadea Rivas (0000-0001-6609-4247, Universidad de Zaragoza) |
| Year | 2023 |
| Volume | 38 |
| Issue | 6 |
| Pages | 801-819 |
| Publication date | 2023-09-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.2977 |
| OpenAlex | W4362519376 |
| Language | EN |
| References cited | 31 |
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 Bai‐Perron methodology (1998) to the I(1) and NI(1) nonstationary cases so that a unified framework to test for the presence of multiple level shifts in a robust way is designed. The finite sample performance of the proposed statistics is carried out, establishing a comparison with other existing approaches in the literature. The paper illustrates the implementation of the statistics focusing on the real exchange rate with time series that either cover a long time period or provide a worldwide analysis. Robust detection of multiple level shifts is of great importance to define the statistical approach that is used to test the purchasing power parity hypothesis
Econometrics · Economics · Exchange rate · Purchasing power parity · Statistical hypothesis testing · Statistics · Complex Systems and Time Series Analysis · Computer Science · Engineering · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Artificial Intelligence
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| Highly cited | No |
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