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dc.contributor.authorHalunga, Andreea G.
dc.contributor.authorOsborn, Denise R.
dc.date.accessioned2014-06-10T15:41:34Z
dc.date.issued2012
dc.description.abstractWe study estimation of the date of change in persistence, from I(0) to I(1) or vice versa. Contrary to statements in the original papers, our analytical results establish that the ratio-based break point estimators of Kim [Kim, J.Y., 2000. Detection of change in persistence of a linear time series. Journal of Econometrics 95, 97–116], Kim et al. [Kim, J.Y., Belaire-Franch, J., Badillo Amador, R., 2002. Corringendum to ‘‘Detection of change in persistence of a linear time series’’. Journal of Econometrics 109, 389–392] and Busetti and Taylor [Busetti, F., Taylor, A.M.R., 2004. Tests of stationarity against a change in persistence. Journal of Econometrics 123, 33–66] are inconsistent when a mean (or other deterministic component) is estimated for the process. In such cases, the estimators converge to random variables with upper bound given by the true break date when persistence changes from I(0) to I(1). A Monte Carlo study confirms the large sample downward bias and also finds substantial biases in moderate sized samples, partly due to properties at the end points of the search interval.en_GB
dc.description.sponsorshipEconomic and Social Research Councilen_GB
dc.identifier.citationVol. 171, Issue 1, pp. 24 - 31en_GB
dc.identifier.doi10.1016/j.jeconom.2012.05.024
dc.identifier.grantnumberRES-000-22-2845en_GB
dc.identifier.urihttp://hdl.handle.net/10871/14993
dc.language.isoenen_GB
dc.publisherElsevieren_GB
dc.relation.urlhttp://www.journals.elsevier.com/journal-of-econometrics/en_GB
dc.subjectPersistence changeen_GB
dc.subjectOrder of integrationen_GB
dc.subjectStructural breaksen_GB
dc.titleRatio-based estimators for a change point in persistenceen_GB
dc.typeArticleen_GB
dc.date.available2014-06-10T15:41:34Z
dc.identifier.issn0304-4076
dc.descriptionPublished version © 2012 Elsevier B.V. All rights reserved. Open Access funded by Economic and Social Research Council under a Creative Commons licenseen_GB
dc.identifier.journalJournal of Econometricsen_GB


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