Testing for Structural Change under Nonstationarity
Abstract
This Appendix (dated: July 2021) includes supplementary derivations related to the main limit results of the econometric framework for structural break testing in predictive regression models based on the OLS-Wald and IVX-Wald test statistics, developed by Katsouris C (2021). In particular, we derive the asymptotic distributions of the test statistics when the predictive regression model includes either mildly integrated or persistent regressors. Moreover, we consider the case in which a model intercept is included in the model vis-a-vis the case that the predictive regression model has no model intercept. In a subsequent version of this study we reexamine these particular aspects in more depth with respect to the demeaned versions of the variables of the predictive regression.
Cite
@article{arxiv.2302.02370,
title = {Testing for Structural Change under Nonstationarity},
author = {Christis Katsouris},
journal= {arXiv preprint arXiv:2302.02370},
year = {2023}
}