Generic consistency of the break-point estimators under specification errors in a multiple-break model  

Oleh:

Bai, Jushan ; Chen, Haiqiang ; Chong, Terence Tai-Leung ; Wang, Seraph Xin

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 11 no. 2 (2008), page 287-307.
Topik: Consistency; Measurement Error; Misspecification; Multiple Changes
Fulltext: 287.pdf (170.77KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper considers the estimation of multiple-structural-break models under specification errors. A common example in economics is that the true model is measured in level, but a linear-log model is estimated. We show that, under specification errors, if there are more than one break points and if a single-break model is estimated, the estimated break point is consistent for one of the true break points. This consistency result applies to models with multiple regressors where some or all of the regressors are misspecified. Another important contribution of this paper is that we have constructed a Sup-Wald test whose limiting distribution is not affected by model misspecification. Using this robust test, we show that the break points can be estimated sequentially one at a time. Simulation evidence and an empirical application are provided.

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