A NOTE ON SPURIOUS BREAK

B-Tier
Journal: Econometric Theory
Year: 1998
Volume: 14
Issue: 5
Pages: 663-669

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:14:y:1998:i:05:p:663-669_14
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-24