Misspecification of the breaking date in series with a change in the growth rate. Effect on the LBI test for stationarity
We study the asymptotic behaviour of the LBI statistic for testing stationarity around a trend with a change in the growth rate when the breaking date is erroneously positioned, showing its divergence. The analysis is completed with Monte Carlo simulations.
Volume (Year): 14 (2007)
Issue (Month): 11 ()
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