Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models

Author:

Christis Katsouris

Keyword:

Economics, Econometrics, Econometrics (econ.EM)

journal:

date:

2023-08-25 16:00:00

Abstract

In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the presence of a single structural break at an unknown location in the full sample. Moreover, we investigate aspects such as how the persistence properties of covariates and the location of the break-point affects the limiting distribution of the proposed break-point estimators.

PDF: Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models.pdf