Is MORE LESS? The role of data augmentation in testing for structural breaks

In this paper, we examine the impact of increasing the size of a data set in detecting structural breaks. Based on an empirical application, supported by theoretical justification and a simulation experiment, we find that larger sample sizes may make it more rather than less difficult to determine t...

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Veröffentlicht in:	Economics letters 2017-06, Vol.155, p.131-134
Hauptverfasser:	Rao, Yao, McCabe, Brendan
Format:	Artikel
Sprache:	eng
Schlagworte:	CUSUM test Economic models Justification Regression Simulation Structural change
Online-Zugang:	Volltext
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