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Tests for Multiple Breaks in the Trend with Stationary or Integrated Shocks

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Oxford Bulletin of Economics and Statistics

Published online on

Abstract

In this paper, we propose new tests of the presence of multiple breaks in the trend of a univariate time‐series where the number and dates of the breaks are unknown and that are valid in the presence of stationary or unit root shocks. These tests can also be used to sequentially estimate the number of breaks. The behaviour of the proposed tests is studied through Monte Carlo experiments.