Least squares estimation and tests of breaks in mean and variance under misspecification

@inproceedings{Pitarakis2003LeastSE,
  title={Least squares estimation and tests of breaks in mean and variance under misspecification},
  author={Jean-Yves Pitarakis},
  year={2003}
}
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 versus the alternative of a structural break. 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. Our analysis considers the case of a break in mean under omitted… CONTINUE READING

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