Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models

Christis Katsouris

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arXiv · 2308.13915

Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models

Christis Katsouris

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Abstract

In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the presence of a single structural break at an unknown location in the full sample. Moreover, we investigate aspects such as how the persistence properties of covariates and the location of the break-point affects the limiting distribution of the proposed break-point estimators.

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Christis Katsouris. 2023-08-26. Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. https://arxiv.org/abs/2308.13915

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