Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models

• Tác giả: Christis Katsouris
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.75 Nonlinear systems
• Thông tin xuất bản: 2023
• Bộ sưu tập: Metadata
• ID: 198102

Tóm tắt

Comment: arXiv admin note: text overlap with arXiv:2204.01373 by other authorsIn 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.