This paper considers various asymptotic approximations to the finite sample distribution of the estimate of the break date in a simple one-break model for a linear trend function that exhibits a change in slope, with or without a concurrent change in intercept. The noise component is either...

to enable proper empirical applications. We provide response surface regressions valid for a wide range of parameters. Copyright Royal Economic Society, 2003

This paper considers various asymptotic approximations in the near-integrated first-order autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero initial con-dition, to derive the expansion of...