Title of article
Change-point estimation of nonstationary I(d) processes
Author/Authors
Yu-Chin Hsu، نويسنده , , Chung-Ming Kuan، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
7
From page
115
To page
121
Abstract
We examine the least-squares estimator of change point for nonstationary I(d) data with 0.5 < d < 1.5. We show that this estimator fails to locate the change point consistently when a change occurs and that it would suggest a spurious change even when there is none.
Keywords
Least-squares estimator , Change point , Spurious change , Nonstationary I(d) process
Journal title
Economics Letters
Serial Year
2008
Journal title
Economics Letters
Record number
436376
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