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A NOTE ON SPURIOUS BREAK

Published online by Cambridge University Press:  01 October 1998

Jushan Bai
Affiliation:
Massachusetts Institute of Technology

Abstract

When the disturbances of a regression model follow anI(1) process there is a tendency to estimate abreak point in the middle of the sample, even though a break pointdoes not actually exist. In this note, we provide a mathematicalproof for this phenomenon.

Information

Type
MISCELLANEA
Copyright
© 1998 Cambridge University Press

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