SPURIOUS BREAK

被引：50

作者：

NUNES, LC

KUAN, CM

NEWBOLD, P

机构：

[1] NATL TAIWAN UNIV,DEPT ECON,TAIPEI 10020,TAIWAN

[2] UNIV ILLINOIS,CHICAGO,IL 60680

[3] UNIV NOVA LISBOA,P-1200 LISBON,PORTUGAL

[4] UNIV NOTTINGHAM,NOTTINGHAM NG7 2RD,ENGLAND

来源：

ECONOMETRIC THEORY | 1995年 / 11卷 / 04期

关键词：

D O I：

10.1017/S0266466600009713

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：736 / 749

页数：14

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