  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.
