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Spurious Break

Published online by Cambridge University Press:  11 February 2009

Luis C. Nunes ,
Chung-Ming Kuan  and
Paul Newbold
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Abstract

A quasi-maximum likelihood estimator of the break dateis analyzed. Consistency of the estimator isdemonstrated under very general conditions, providedthat the data-generating process is not integrated.However, the asymptotic distribution of theestimator is quite different for time series thatare integrated of order one. In that case, whenthere is no break, the analyst can be spuriously ledto the estimation of a break near the middle of thetime series.

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Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 4 , August 1995 , pp. 736 - 749
Copyright
Copyright © Cambridge University Press 1995

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