Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/312910 
Year of Publication: 
2025
Series/Report no.: 
Hannover Economic Papers (HEP) No. 735
Publisher: 
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover
Abstract: 
This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of a system of long memory time series regressions is proposed. The limiting distributions as well as the consistency of the estimators are derived. Furthermore, a testing procedure to determine the unknown number of breaks is introduced which is based on iterative testing on the regression residuals. A Monte Carlo exercise shows the good finite sample properties of our novel approach, and empirical applications on inflation series of France and Germany and on benchmark government bonds of eight EMU countries illustrate the usefulness of the proposed procedures.
Subjects: 
Multivariate Long Memory
Fractional Cointegration
Multiple Structural Breaks
Hypothesis Testing
Inflation
Government Bonds
JEL: 
C12
C22
C58
G15
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.