Partial parameter consistency in a misspecified structural change model

DOI10.1016/0165-1765(95)00699-GzbMath0875.90170MaRDI QIDQ1352221

Terence Tai-Leung Chong

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Misspecification; Change points; Mean-shift model; Piecewise convexity

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B82: Statistical methods; economic indices and measures

Related Items

Generic consistency of the break‐point estimator under specification errors, Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation, Estimating the locations and number of change points by the sample-splitting method, Consistency of the least squares estimator in threshold regression with endogeneity, Mean and volatility dynamics of indian rupee/US dollar exchange rate series: an empirical investigation, Estimation of heterogeneous panels with structural breaks, Estimating multiple breaks in nonstationary autoregressive models, Structural-break models under mis-specification: implications for forecasting, Methods of analyzing nonstationary time series with implicit changes in their properties, Generic consistency of the break-point estimators under specification errors in a multiple-break model

Cites Work

• Testing a Sequence of Observations for a Shift in Location