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A Note On Spurious Break

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Author Info
Bai, Jushan

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Abstract

When the disturbances of a regression model follow an I(1) process there 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.

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File URL: http://journals.cambridge.org/abstract_S0266466698145061
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 14 (1998)
Issue (Month): 05 (October)
Pages: 663-669
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:14:y:1998:i:05:p:663-669_14

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  2. Mohamed BOUTAHAR & Jamel JOUINI, 2007. "wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence," Economics Bulletin, Economics Bulletin, vol. 3(3), pages 1-10. [Downloadable!]
  3. Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation, Yale University. [Downloadable!]
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This page was last updated on 2009-12-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.