
DEA Working Paper No. 13,
July
2005
The KPSS Test with Two Structural Breaks
Josep Lluís Carrion-i-Silvestre and Andreu Sansó
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 finite samples.
Keywords: Stationary tests, structural breaks, unit root
JEL codes: C12, C15, C22