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

會計研究所

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

8 引文斯高帕斯（Scopus）

摘要

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.

原文	???core.languages.en_GB???
頁（從 - 到）	147-155
頁數	9
期刊	Economics Letters
卷	70
發行號	2
DOIs	https://doi.org/10.1016/S0165-1765(00)00361-X
出版狀態	已出版 - 2月 2001

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10.1016/S0165-1765(00)00361-X

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title = "Change point estimation in regressions with I(d) variables",

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.",

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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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U2 - 10.1016/S0165-1765(00)00361-X

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

M3 - 期刊論文

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SP - 147

EP - 155

JO - Economics Letters

JF - Economics Letters

IS - 2

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Change point estimation in regressions with I(d) variables

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