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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 date is analyzed. Consistency of the estimator is demonstrated under very general conditions, provided that the data-generating process is not integrated. However, the asymptotic distribution of the estimator is quite different for time series that are integrated of order one. In that case, when there is no break, the analyst can be spuriously led to the estimation of a break near the middle of the time series.

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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