Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062094 | Economics Letters | 2008 | 7 Pages |
Abstract
We examine the least-squares estimator of change point for nonstationary I(d) data with 0.5 < d < 1.5. We show that this estimator fails to locate the change point consistently when a change occurs and that it would suggest a spurious change even when there is none.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yu-Chin Hsu, Chung-Ming Kuan,