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Estimating break points in a time series regression with structural changes

Author

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  • Maekawa, Koichi
  • He, Zonglu
  • Tee, Kianheng

Abstract

In econometric literatures, a number of tests for unit roots have been proposed in the presence of structural changes in I(1) and I(0) model when the numbers of break points are or are not known (though their locations are unknown). Recently, Hatanaka and Yamada [A unit root test in the presence of structural changes in I(1) and I(0) models, in: R.F. Engle, H. White (Eds.), Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger, Oxford University Press, Oxford, 1999 (Chapter 11)] proposed a unit root test consisted of two steps: estimating break points and testing a unit root, but their methods resulted in remarkable negative biases in the break points estimates. Our paper attempts to eliminate the negative biases by utilizing the weighted symmetric estimation.

Suggested Citation

  • Maekawa, Koichi & He, Zonglu & Tee, Kianheng, 2004. "Estimating break points in a time series regression with structural changes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 95-101.
    • Handle: RePEc:eee:matcom:v:64:y:2004:i:1:p:95-101
    DOI: 10.1016/S0378-4754(03)00123-X
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    Cited by:

    1. Qin, Ruibing & Tian, Zheng & Jin, Hao & Zhang, Xiaowei, 2010. "Strong convergence rate of robust estimator of change point," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2026-2032.
    2. Fukuda, Kosei, 2006. "Monitoring unit root and multiple structural changes: An information criterion approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 121-130.

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