Sequential break-dating procedures, proposed in Banerjee and Urga (1995a,b), allow breaks to be determined by the data, avoiding a priori imposition. In this paper, the methods are brieey introduced and then utilised to analyse UK foreign trade within the context of the LBS model. The break-dates for both imports and exports equations are robust to a range of sensitivity analyses, are found at ...

This paper investigates the usefulness of information criteria for inference on the number of structural breaks in a standard linear regression model. In particular, we propose a modified penalty function for such criteria based on theoretical arguments, which implies each break is equivalent to estimation of three individual regression coefficients. A Monte Carlo analysis compares information ...

We analyse the evolution of the Indian economy over the past six decades, particularly identifying structural breaks. We find that usually there has been a gradual change in the indicators of the economy .The growth rate of per capita GDP after falling in the decade mid 60s to mid 70s has been accelerating gradually since then. Since 1991 exports have played an important role in this growth. Th...

This paper investigates the relationship between consumer credits and interest rates in Turkey based on the fractional cointegration approach by using daily observations over the period from 4 January 2002 to 24 December 2010. First, we ignore the possible structural breaks in the series and perform the Geweke and Porter-Hudak (GPH) test on the residuals for fractional cointegration. Second, we...