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Generic consistency of the break-point estimator under specification errors

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  • Terence Tai-Leung Chong

Abstract

This paper considers the asymptotic behavior of the break-point estimator when some or all of the variables in a structural-break model are misspecified. An obvious example is misspecifying a linear model as a log--log model. The results given here cover a large number of data transformations, including transformation of the independent variables, dependent variable and transformation of both variables at the same time. The true data generating process can be stationary or non-stationary. I establish a useful result that, under some relatively weak assumptions, the break point can always be consistently estimated regardless of how a structural-break model is misspecified. The asymptotic behavior of the SupWald test under model misspecification is studied. Simulations and empirical evidence are also provided. Copyright Royal Economic Society, 2003

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 6 (2003)
Issue (Month): 1 (06)
Pages: 167-192

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Handle: RePEc:ect:emjrnl:v:6:y:2003:i:1:p:167-192

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Cited by:
  1. repec:ebl:ecbull:v:3:y:2007:i:2:p:1-10 is not listed on IDEAS
  2. Chen, Haiqiang & Chong, Terence Tai Leung & Bai, Jushan, 2012. "Theory and Applications of TAR Model with Two Threshold Variables," MPRA Paper 54527, University Library of Munich, Germany.
  3. repec:ebl:ecbull:v:3:y:2007:i:36:p:1-19 is not listed on IDEAS
  4. repec:ebl:ecbull:v:3:y:2007:i:67:p:1-10 is not listed on IDEAS
  5. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.

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