Change point estimation in regressions with I(d) variables

Chih Chiang Hsu

doi:10.1016/S0165-1765(00)00361-X

Change point estimation in regressions with I(d) variables

Chih Chiang Hsu

Graduate Institute of Accounting

Research output: Contribution to journal › Article › peer-review

14 Scopus citations

Abstract

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 language	English
Pages (from-to)	147-155
Number of pages	9
Journal	Economics Letters
Volume	70
Issue number	2
DOIs	https://doi.org/10.1016/S0165-1765(00)00361-X
State	Published - Feb 2001

Keywords

C22
Change point estimation
Fractional Brownian motion
Spurious change

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AB - 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.

KW - C22

KW - Change point estimation

KW - Fractional Brownian motion

KW - Spurious change

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DO - 10.1016/S0165-1765(00)00361-X

M3 - 期刊論文

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VL - 70

SP - 147

EP - 155

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Change point estimation in regressions with I(d) variables

Abstract

Keywords

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