Spurious Break
- 11 February 1995
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 11 (4) , 736-749
- https://doi.org/10.1017/s0266466600009713
Abstract
A quasi-maximum likelihood estimator of the break date is analyzed. Consistency of the estimator is demonstrated under very general conditions, provided that the data-generating process is not integrated. However, the asymptotic distribution of the estimator is quite different for time series that are integrated of order one. In that case, when there is no break, the analyst can be spuriously led to the estimation of a break near the middle of the time series.Keywords
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