Change point estimation in regressions with I(d) variables

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In this paper we study the least-squares change-point estimator in regressions with stationary and invertible I(d) regressors and disturbances. We find that the least-squares estimator remains consistent when there is a one-time break, but it may identify a spurious change when there is none.

Original languageEnglish
Pages (from-to)147-155
Number of pages9
JournalEconomics Letters
Issue number2
StatePublished - Feb 2001


  • C22
  • Change point estimation
  • Fractional Brownian motion
  • Spurious change


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