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Testing for Structural Change under Nonstationarity

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  • Christis Katsouris

Abstract

This Appendix (dated: July 2021) includes supplementary derivations related to the main limit results of the econometric framework for structural break testing in predictive regression models based on the OLS-Wald and IVX-Wald test statistics, developed by Katsouris C (2021). In particular, we derive the asymptotic distributions of the test statistics when the predictive regression model includes either mildly integrated or persistent regressors. Moreover, we consider the case in which a model intercept is included in the model vis-a-vis the case that the predictive regression model has no model intercept. In a subsequent version of this study we reexamine these particular aspects in more depth with respect to the demeaned versions of the variables of the predictive regression.

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  • Christis Katsouris, 2023. "Testing for Structural Change under Nonstationarity," Papers 2302.02370, arXiv.org.
    • Handle: RePEc:arx:papers:2302.02370
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    1. Peter C.B. Phillips, 1987. "Multiple Regression with Integrated Time Series," Cowles Foundation Discussion Papers 852, Cowles Foundation for Research in Economics, Yale University.
    2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    3. Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
    4. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
    5. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-1065, September.
    6. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    7. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-1369, November.
    8. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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    Cited by:

    1. Christis Katsouris, 2023. "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers 2307.14463, arXiv.org.
    2. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
    3. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.

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