Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models
Econometrics
2023-08-29 v1
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.
Keywords
Cite
@article{arxiv.2308.13915,
title = {Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models},
author = {Christis Katsouris},
journal= {arXiv preprint arXiv:2308.13915},
year = {2023}
}
Comments
arXiv admin note: text overlap with arXiv:2204.01373 by other authors