Spurious Break

Luis C. Nunes (), Chung-Ming Kuan () and Paul Newbold

Econometric Theory, 1995, vol. 11, issue 04, pages 736-749

Abstract: A quasi-maximum likelihood estimator of the break date is analyzed. Consistency of the estimator is demonstrated under very general conditions, provided that the data-generating process is not integrated. However, the asymptotic distribution of the estimator is quite different for time series that are integrated of order one. In that case, when there is no break, the analyst can be spuriously led to the estimation of a break near the middle of the time series.

Date: 1995
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