Kejriwal, Mohitosh; Perron, Pierre - In: Economics Letters 117 (2012) 3, pp. 932-935
of such autoregressive processes and shows that the rate of convergence of the breakpoint estimator in the I(1)–I(0) case … convergence prevails in both cases. An important implication of this result is that existing confidence intervals in the I(1)–I(0 …This paper studies issues related to the estimation of a structural change in the persistence of a univariate time …