New distribution theory for the estimation of structural break point in mean

DOI10.1016/j.jeconom.2018.03.009zbMath1452.62187OpenAlexW2279204358MaRDI QIDQ1754516

Xiaohu Wang, Jun Yu, Liang Jiang

Publication date: 31 May 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1782

zbMATH Keywords

bias reductionstructural breakexact distributionin-fill asymptoticsindirect estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (12)

GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ UNIT ROOT TEST WITH HIGH-FREQUENCY DATA ⋮ BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time ⋮ Estimation of a Structural Break Point in Linear Regression Models ⋮ ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH ⋮ Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data ⋮ Point optimal testing with roots that are functionally local to unity ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Continuous record Laplace-based inference about the break date in structural change models ⋮ In-fill asymptotic theory for structural break point in autoregressions

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