Break date estimation for models with deterministic structural change
In this article, we consider estimating the timing of a break in level and/or trend when the order of integration and autocorrelation properties of the data are unknown. For stationary innovations, break point estimation is commonly performed by minimizing the sum of squared residuals across all can...
| Main Authors: | , |
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| Format: | Article |
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Wiley
2014
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32664/ |