Change-Point Estimation of Nonstationary I(d) Processes

We examine the least-squares estimator of change point for nonstationary I(d) data with 0.5 < d < 1.5. We show that this estimator fails to locate the change point consistently when a change occurs and that it would suggest a spurious change even when there is none.

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Year of publication:	2006-09
Authors:	Hsu, Yu-Chin ; Kuan, Chung-Ming
Institutions:	Institute of Economics, Academia Sinica
Subject:	least-squares estimator \| change point \| nonstationary I(d) process \| spurious change

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Extent:	application/pdf
Series:	IEAS Working Paper : academic research.
Type of publication:	Book / Working Paper
Notes:	Number 06-A007 8 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008632897