Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62822
Authors: 
Kapetanios, George
Tzavalis, Elias
Year of Publication: 
2005
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 537
Abstract: 
This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the autoregressive parameters of economic series. Our model specifies that both the timing and size of breaks are stochastic. We apply the model to a variety of macroeconomic and finance series from the US.
Subjects: 
Structural breaks, State space model, Nonlinearity
JEL: 
E32
C13
C22
Document Type: 
Working Paper

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