A Note on Spurious Break and Regime Shift in Cointegrating Relationship.

The simulation result of Nunes, Kuan, and Newbold suggests that it is possible to estimate a spurious break for a regression model with I(1) disturbances. In this note, we provide a rigorous proof for this phenomenon.

MoreLess

Year of publication:	1996
Authors:	Bai, J.
Institutions:	Economics Department, Massachusetts Institute of Technology (MIT)
Subject:	ECONOMETRICS \| MATHEMATICS \| EVALUATION

More details

Series:	Working papers.
Type of publication:	Book / Working Paper
Notes:	12 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C19 - Econometric and Statistical Methods: General. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005450473