Bai, Jushan; Lumsdaine, Robin L; Stock, James H - In: Review of Economic Studies 65 (1998) 3, pp. 395-432
This paper develops methods for constructing asymptotically valid confidence intervals for the date of a single break in multivariate time series, including I(0), I(1), and deterministically trending regressors. Although the width of the asymptotic confidence interval does not decrease as the...