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A NOTE ON SPURIOUS BREAK
Published online by Cambridge University Press: 01 October 1998
Abstract
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When the disturbances of a regression model follow anI(1) process there is a tendency to estimate abreak point in the middle of the sample, even though a break pointdoes not actually exist. In this note, we provide a mathematicalproof for this phenomenon.
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- MISCELLANEA
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- © 1998 Cambridge University Press
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