Estimating break points in a time series regression with structural changes

Koichi Maekawa, Zonglu He and Kianheng Tee

Mathematics and Computers in Simulation (MATCOM), 2004, vol. 64, issue 1, 95-101

Abstract: In econometric literatures, a number of tests for unit roots have been proposed in the presence of structural changes in I(1) and I(0) model when the numbers of break points are or are not known (though their locations are unknown). Recently, Hatanaka and Yamada [A unit root test in the presence of structural changes in I(1) and I(0) models, in: R.F. Engle, H. White (Eds.), Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger, Oxford University Press, Oxford, 1999 (Chapter 11)] proposed a unit root test consisted of two steps: estimating break points and testing a unit root, but their methods resulted in remarkable negative biases in the break points estimates. Our paper attempts to eliminate the negative biases by utilizing the weighted symmetric estimation.

Keywords: Unit root test; Structural change; Weighted symmetric estimation (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:64:y:2004:i:1:p:95-101

DOI: 10.1016/S0378-4754(03)00123-X

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