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Change-Point Estimation of Nonstationary I(d) Processes

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Abstract

We examine the least-squares estimator of change point for nonstationary I(d) data with 0.5

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  • Yu-Chin Hsu & Chung-Ming Kuan, 2006. "Change-Point Estimation of Nonstationary I(d) Processes," IEAS Working Paper : academic research 06-A007, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  • Handle: RePEc:sin:wpaper:06-a007
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    File URL: http://www.econ.sinica.edu.tw/upload/file/06-a007.2008090209460287.pdf
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    References listed on IDEAS

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    1. Bai, Jushan, 1998. "A Note On Spurious Break," Econometric Theory, Cambridge University Press, vol. 14(05), pages 663-669, October.
    2. Nunes, Luis C. & Kuan, Chung-Ming & Newbold, Paul, 1995. "Spurious Break," Econometric Theory, Cambridge University Press, vol. 11(04), pages 736-749, August.
    3. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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    Cited by:

    1. Giorgio Canarella & Stephen Miller, 2016. "Inflation persistence and structural breaks: the experience of inflation targeting countries and the US," Journal of Economic Studies, Emerald Group Publishing, vol. 43(6), pages 980-1005, November.
    2. Seong Yeon Chang & Pierre Perron, 2016. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 555-574, July.

    More about this item

    Keywords

    least-squares estimator; change point; nonstationary I(d) process; spurious change;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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