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We show that it is possible to extend the Bai\u2010Perron methodology (1998) to the I(1) and NI(1) nonstationary cases so that a unified framework to test for the presence of multiple level shifts in a robust way is designed. The finite sample performance of the proposed statistics is carried out, establishing a comparison with other existing approaches in the literature. The paper illustrates the implementation of the statistics focusing on the real exchange rate with time series that either cover a long time period or provide a worldwide analysis. Robust detection of multiple level shifts is of great importance to define the statistical approach that is used to test the purchasing power parity hypothesis.<\/jats:p>","DOI":"10.1002\/jae.2977","type":"journal-article","created":{"date-parts":[[2023,3,31]],"date-time":"2023-03-31T03:34:47Z","timestamp":1680233687000},"page":"801-819","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Testing for multiple level shifts with an integrated or stationary noise component"],"prefix":"10.1002","volume":"38","author":[{"given":"Josep Llu\u00eds","family":"Carrion\u2010i\u2010Silvestre","sequence":"first","affiliation":[{"name":"AQR\u2010IREA Research Group, Department of Econometrics, Statistics, and Applied Economics University of Barcelona  Barcelona Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Mar\u00eda Dolores","family":"Gadea","sequence":"additional","affiliation":[{"name":"Department of Applied Economics University of Zaragoza  Zaragoza Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2023,3,30]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465397557132"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00051"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.659"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.00102"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00216"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609990326"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/acrefore\/9780190625979.013.179"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20130954"},{"key":"e_1_2_10_12_1","doi-asserted-by":"crossref","unstructured":"Froot K. 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