Change-Point Estimation of Nonstationary I(d) Processes

Yu-Chin Hsu and Chung-Ming Kuan ()

No 06-A007, IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan

Abstract: We examine the least-squares estimator of change point for nonstationary I(d) data with 0.5

Keywords: least-squares estimator; change point; nonstationary I(d) process; spurious change (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2006-09
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Related works:
Journal Article: Change-point estimation of nonstationary I(d) processes (2008)
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