This paper considers the estimation of multiple-structural-break models under specification errors. A common example in economics is that the true model is measured in level, but a linear-log model is estimated. We show that, under specification errors, if there are more than one break points...

This paper develops a new kind of aggregation model. We extend the work of Linden (1999) to allow the AR coefficient to be drawn from a polynomial density function. The polynomial density incorporates a wealth of multi-modal density functions as special cases. Given the aggregate data, we...

This paper considers the asymptotic behavior of the break-point estimator when some or all of the variables in a structural-break model are misspecified. An obvious example is misspecifying a linear model as a log--log model. The results given here cover a large number of data transformations,...