Template-Type: ReDIF-Paper 1.0

Author-Name: Pierre Perron
Author-X-Name-First: Pierre 		
Author-X-Name-Last:Perron
Author-Email: perron@bu.edu
Author-Workplace-Name: Department of Economics, Boston University


Title: Dealing with Structural Breaks

Abstract: This chapter is concerned with methodological issues related to estimation, testing
and computation in the context of structural changes in the linear models. A central
theme of the review is the interplay between structural change and unit root and on
methods to distinguish between the two. The topics covered are: methods related
to estimation and inference about break dates for single equations with or without
restrictions, with extensions to multi-equations systems where allowance is also made
for changes in the variability of the shocks; tests for structural changes including tests
for a single or multiple changes and tests valid with unit root or trending regressors,
and tests for changes in the trend function of a series that can be integrated or trendstationary;
testing for a unit root versus trend-stationarity in the presence of structural
changes in the trend function; testing for cointegration in the presence of structural
changes; and issues related to long memory and level shifts. Our focus is on the
conceptual issues about the frameworks adopted and the assumptions imposed as they
relate to potential applicability. We also highlight the potential problems that can
occur with methods that are commonly used and recent work that has been done to
overcome them.

Length:92 pages
Creation-Date:2005-04 
Revision-Date: 
Publication-Status:
File-URL: http://www.bu.edu/econ/workingpapers/papers/Pierre%20Perron/wp2005/dealing.pdf
File-Format: Application/pdf
File-Function: 
Number: WP2005-017
Classification-JEL: 
Keywords:
Handle: RePEc:bos:wpaper:WP2005-017