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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
