论文信息 - Change point estimation in regressions with I(d) variables

Change point estimation in regressions with I(d) variables

Abstract In this paper we study the least-squares change-point estimator in regressions with stationary and invertible I(d) regressors and disturbances. We find that the least-squares estimator remains consistent when there is a one-time break, but it may identify a spurious change when there is none.

Chih-Chiang Hsu | Chih-Chiang Hsu

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