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Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models

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  • Christis Katsouris

Abstract

In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the presence of a single structural break at an unknown location in the full sample. Moreover, we investigate aspects such as how the persistence properties of covariates and the location of the break-point affects the limiting distribution of the proposed break-point estimators.

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  • Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
    • Handle: RePEc:arx:papers:2308.13915
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