Generic consistency of the break‐point estimator under specification errors
Year: 2003
Type: article
Abstract: This paper considers the asymptotic behavior of the break‐point estimator when some or all of the variables in a structural‐break model are misspecified. An obvious example is misspecifying a linear model as a log–log model. The results given here cover a large number of data transformations, including transformation of the independent variables, dependent variable and transformation of both variables at the same time. The true data generating process can be stationary or non‐stationary. I establish a useful result that, under some relatively weak assumptions, the break point can always be consistently estimated regardless of how a structural‐break model is misspecified. The asymptotic behavior of the SupWald test under model misspecification is studied. Simulations and empirical evidence are also provided.
Source: Econometrics Journal
Author: Terence Tai‐Leung Chong
Institution: Chinese University of Hong Kong
Language: English
Domain: Social Sciences
Open Access status: green
Funder: University of Hong Kong
OpenAlex ID: W2147701782