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Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models (2308.13915v1)
Published 26 Aug 2023 in econ.EM
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.