The KPSS test with two structural breaks

Abstract

In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de…ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in …nite samples.

Electricity consumption and economic development in Asia: new data and new methods

“…In addition to the above tests, the study explored the likelihood of a structural break in the EPC and the GDP time series data. For this purpose, the KPSS (Kwiatkowski–Phillips–Schmidt–Shin) test with two structural breaks was applied to examine the common components, as suggested by Carrion‐i‐Silvestre and Sansó (). In a similar way, the panel KPSS test with two structural breaks was applied to analyse the idiosyncratic components as suggested by Carrion‐i‐Silvestre et al.…”

“… Notes : Number of structural breaks was determined by the Information Criterion (Schwarz ). Critical values for the Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test with two structural breaks were obtained from Carrion‐i‐Silvestre and Sansó (), whereas critical values for the panel KPSS test with two structural breaks were obtained from Carrion‐i‐Silvestre et al. ().…”

Is the Output–capital Ratio Constant in the Very Long Run?*

“…Kurozumi (2002) proposes a univariate KPSS stationarity test with one endogenous break in the intercept and trend and Carrion‐i‐Silvestre and Sansó (2007) propose a univariate KPSS stationarity test with two endogenous break in the intercept and trend. Beginning with the one break case, if we allow for one structural break in the time series represented in we get the following representation:…”

“… Notes: Critical values for KPSS test with two structural break are based on Carrion‐i‐Silvestre and Sansó (2007). …”

“…(1992) (KPSS test). Following this exercise, we proceed to employ a KPSS test with one and two breaks in the intercept and in the intercept and trend proposed by Kurozumi (2002) and Carrion‐i‐Silvestre and Sansó (2007) respectively. Finally, we proceed to employ a panel stationarity test, which allows for multiple breaks in the intercept and in the intercept and trend proposed by Carrion‐i‐Silvestre et al .…”