Structural breaks and fractional integration in the US output and unemployment rate

Abstract

In this article we examine the presence of structural breaks in the US output and unemployment rate by means of using fractionally integrated techniques. The results based on Robinson’s [Journal of the American Statistical Association 89 (1994) 1420] tests indicate that, for unemployment, the inclusion of breaks does not affect to the degree of integration of the series, while for the GNP, we observe a reduction in its order of integration of about 0.25 when a break due to the oil price crisis is taken into account.