On the behaviour of fixed-b trend break tests under fractional integration by

@inproceedings{Iacone2011OnTB,
  title={On the behaviour of fixed-b trend break tests under fractional integration by},
  author={Fabrizio Iacone and Stephen J. Leybourne and A. M. Robert Taylor},
  year={2011}
}
Testing for the presence of a broken linear trend when the nature of the persistence in the data is unknown is not a trivial problem, since the test needs to be both asymptotically correctly sized and consistent, regardless of the order of integration of the data. In a recent paper, Sayginsoy and Vogelsang (2011) [SV] show that tests based on xed-b asymptotics provide a useful solution to this problem in the case where the shocks may be either weakly dependent or display strong dependence… CONTINUE READING
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