Popp, Stephan - Fachbereich Wirtschaftswissenschaften, Universität … - 2007
unknown point in time. The break is modelled by an innovational outlier approach. Provided that the break date is estimated … estimation of the break date leads to considerable spurious rejections of the null hypothesis in small samples. In this paper … conventionally used approaches, these tests enable the identification of the true break date and ensure the invariance property of …