A NOTE ON SPURIOUS BREAK

Authors
BAI JS
Citation
Js. Bai, A NOTE ON SPURIOUS BREAK, Econometric theory, 14(5), 1998, pp. 663-669
Citations number
9
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods
Journal title
Econometric theory → ACNP
ISSN journal
02664666
Volume
14
Issue
5
Year of publication
1998
Pages
663 - 669
Database
ISI
SICI code
0266-4666(1998)14:5<663:>2.0.ZU;2-4
Abstract
When the disturbances of a regression model follow an 1(1) process the re is a tendency to estimate a break point in the middle of the sample , even though a break point does not actually exist. In this note, we provide a mathematical proof for this phenomenon.