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LEAST SQUARES ESTIMATION AND TESTS OF BREAKS IN MEAN AND VARIANCE UNDER MISSPECIFICATION
Category: Econometrics
STRUCTURAL BREAKS I
Monday 26th August 2002, 09:30 - 11:00, Room: 5.3
Session Chair(s):
Alain Hecq, University of Maastricht, NETHERLANDS
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Abstract:
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In this paper we investigate the consequences of misspecification on the large sample properties of change-point estimators and the validity of tests of the null hypothesis of linearity. Specifically, this paper concentrates on the interaction of structural breaks in the mean and variance of a time series when either of the two is omitted from the estimation and inference procedures.
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