A NOTE ON SPURIOUS BREAK

Jushan Bai

Econometric Theory, 1998, vol. 14, issue 5, 663-669

Abstract: When the disturbances of a regression model follow an I(1) process there is a tendency to estimate a break point in the middle of the sample, even though a break point does not actually exist. In this note, we provide a mathematical proof for this phenomenon.

Date: 1998
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