Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models

Christis Katsouris

Papers from arXiv.org

Abstract: In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the presence of a single structural break at an unknown location in the full sample. Moreover, we investigate aspects such as how the persistence properties of covariates and the location of the break-point affects the limiting distribution of the proposed break-point estimators.

Date: 2023-08
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ger
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2308.13915

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