Halunga, Andreea G.; Osborn, Denise R. - In: Journal of Econometrics 171 (2012) 1, pp. 24-31
We study estimation of the date of change in persistence, from I(0) to I(1) or vice versa. Contrary to statements in the original papers, our analytical results establish that the ratio-based break point estimators of Kim [Kim, J.Y., 2000. Detection of change in persistence of a linear time...
