Spurious break

Luis C. Nunes, Chung Ming Kuan, Paul Newbold

Research output: Contribution to journalArticle

51 Citations (Scopus)

Abstract

A quasi-maximum likelihood estimator of the break date is analyzed. Consistency of the estimator is demonstrated under very general conditions, provided that the data-generating process is not integrated. However, the asymptotic distribution of the estimator is quite different for time series that are integrated of order one. In that case, when there is no break, the analyst can be spuriously led to the estimation of a break near the middle of the time series.

Original languageEnglish
Pages (from-to)736-749
Number of pages14
JournalEconometric Theory
Volume11
Issue number4
DOIs
Publication statusPublished - 1995

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    Nunes, L. C., Kuan, C. M., & Newbold, P. (1995). Spurious break. Econometric Theory, 11(4), 736-749. https://doi.org/10.1017/S0266466600009713