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
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
Journal title :
Economics Letters