Break date estimation for models with deterministic structural change

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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...

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Bibliographic Details
Main Authors:	Harvey, David I., Leybourne, Stephen J.
Format:	Article
Published:	Wiley 2014
Subjects:	Break point estimation; Break in level; Break in trend; Local-to-zero breaks
Online Access:	https://eprints.nottingham.ac.uk/32664/

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