Least Squares Estimation And Tests Of Breaks In Mean And Variance Under Misspecification  

Oleh:

Pitarakis, Jean-Yves

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 7 no. 1 (Jun. 2004), page 32–54.
Topik: Structural breaks; Misspecification; Variance shifts; Bootstrapping
Fulltext: 32.pdf (175.31KB)

Isi artikel

In this paper we investigate the consequences of misspecification on the large sample properties of change-point estimators and the validity of tests of the null hypothesis of linearity versus the alternative of a structural break. Specifically this paper concentrates on the interaction of structural breaks in the mean and variance of a time series when either of the two is omitted from the estimation and inference procedures. Our analysis considers the case of a break in mean under omitted-regime-dependent heteroscedasticity and that of a break in variance under an omitted mean shift. The large and finite sample properties of the resulting least-squares-based estimators are investigated and the impact of the two types of misspecification on inferences about the presence or absence of a structural break subsequently analysed.

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