A Note on Spurious Break and Regime Shift in Cointegrating Relationship

Jushan Bai ()

Working papers from Massachusetts Institute of Technology (MIT), Department of Economics

Abstract: The simulation result of Nunes, Kuan, and Newbold suggests that it is possible to estimate a spurious break for a regression model with I(1) disturbances. In this note, we provide a rigorous proof for this phenomenon.

Keywords: ECONOMETRICS; MATHEMATICS; EVALUATION (search for similar items in EconPapers)
JEL-codes: C10 C13 C19 (search for similar items in EconPapers)
Date: 1996

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