In-fill asymptotic theory for structural break point in autoregressions

DOI10.1080/07474938.2020.1788822zbMath1490.62253OpenAlexW3042816070MaRDI QIDQ5861036

Liang Jiang, Jun Yu, Xiaohu Wang

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2551

zbMATH Keywords

asymmetryexact distributionhighest density regionin-fill asymptoticslong-span asymptoticstrimodality

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) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Latent local-to-unity models ⋮ 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 ⋮ A first order continuous time <scp>VAR</scp> with random coefficients

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