Abstract
When the disturbances of a regression model follow
an I(1) process there is a tendency
to estimate a break point in the middle of the sample,
even though a break point does not actually exist. In this
note, we provide a mathematical proof for this phenomenon.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
22 articles.
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