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Inference on A Structural Break in Trend with fractionally Integrated Errors

Id：2346 Date：20161018 Status：published ClickTimes：
作者Seong Yeon Chang, Pierre Perron
正文Perron and Zhu (2005) established the consistency, convergence rate and limiting distributions of parameter estimates in time trends with a change in slope with or without a concurrent level change for the cases with I(1) or I(0) errors. We extend their analysis to the general case of fractionally integrated errors with memory parameter d∗. Our results uncover interesting features; e.g., with a level shift allowed, the convergence rate for the break date estimate is the same for all d∗∈(−0.5,0.5). In other cases, it is decreasing as d∗ increases. We also provide results about the so-called spurious break issue.
JEL-Codes：C13; C18; C22.
关键词：Fractionally integrated process; linear trend; segmented trend; spurious break; structural change.
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