Estimating break points in a time series regression with structural changes

• Published in: Mathematics and computers in simulation Vol. 64; no. 1; pp. 95 - 101
• Main Authors: Maekawa, Koichi, He, Zonglu, Tee, Kianheng
• Format: Journal Article Conference Proceeding
• Language: English
• Published: Amsterdam Elsevier B.V 05.01.2004; Elsevier
• Subjects: Exact sciences and technology; Inference from stochastic processes; time series analysis; Linear inference, regression; Mathematics; Probability and statistics; Sciences and techniques of general use; Statistics; Structural change; Unit root test; Weighted symmetric estimation; Weighted symmetric estimation; Structural change; Unit root test; Breakpoint; Statistical test; Symmetric estimation; Cointegration; Time series; Regression; Econometrics; Unit root; 1999
• ISSN: 0378-4754; 1872-7166
• DOI: 10.1016/S0378-4754(03)00123-X

In econometric literatures, a number of tests for unit roots have been proposed in the presence of structural changes in I(1) and I(0) model when the numbers of break points are or are not known (though their locations are unknown). Recently, Hatanaka and Yamada [A unit root test in the presence of structural changes in I(1) and I(0) models, in: R.F. Engle, H. White (Eds.), Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger, Oxford University Press, Oxford, 1999 (Chapter 11)] proposed a unit root test consisted of two steps: estimating break points and testing a unit root, but their methods resulted in remarkable negative biases in the break points estimates. Our paper attempts to eliminate the negative biases by utilizing the weighted symmetric estimation.