Generic Consistency of the Break-Point Estimators under Specification Errors in a Multiple-Break Model
AbstractThis paper considers the estimation of multiple-structural-break models under specification errors. A common example in economics is that the true model is measured in level, but a linear-log model is estimated. We show that, under specification errors, if there are more than one break points and if a single-break model is estimated, the estimated break point is consistent for one of the true break points. This consistency result applies to models with multiple regressors where some or all of the regressors are misspecified. Another important contribution of this paper is that we have constructed a Sup-Wald test whose limiting distribution is not affected by model misspecification. Using this robust test, we show that the break points can be estimated sequentially one at a time. Simulation evidence and an empirical application are provided. Copyright ï¿½ 2008 The Author(s). Journal compilation ï¿½ Royal Economic Society 2008
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Bibliographic InfoPaper provided by Chinese University of Hong Kong, Department of Economics in its series Departmental Working Papers with number _160.
Date of creation: Jul 2004
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- Jushan Bai & Haiqiang Chen & Terence Tai-Leung Chong & Seraph Xin Wang, 2008. "Generic consistency of the break-point estimators under specification errors in a multiple-break model," Econometrics Journal, Royal Economic Society, vol. 11(2), pages 287-307, 07.
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- Alastair R. Hall & Sanggohn Han & Otilia Boldea, 2009.
"Inference regarding multiple structural changes in linear models with endogenous regressors,"
Centre for Growth and Business Cycle Research Discussion Paper Series
125, Economics, The Univeristy of Manchester.
- Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
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