Testing for Structural Change under Nonstationarity

Abstract: This Appendix (dated: July 2021) includes supplementary derivations related to the main limit results of the econometric framework for structural break testing in predictive regression models based on the OLS-Wald and IVX-Wald test statistics, developed by Katsouris C (2021). In particular, we derive the asymptotic distributions of the test statistics when the predictive regression model includes either mildly integrated or persistent regressors. Moreover, we consider the case in which a model intercept is included in the model vis-a-vis the case that the predictive regression model has no model intercept. In a subsequent version of this study we reexamine these particular aspects in more depth with respect to the demeaned versions of the variables of the predictive regression.