Bai, Jushan; Chen, Haiqiang; Chong, Terence Tai-Leung; … - In: Econometrics Journal 11 (2008) 2, pp. 287-307
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...