On bias in the estimation of structural break points

Based on the Girsanov theorem, this paper obtains the exact Önite sample distribution of the maximum likelihood estimator of structural break points in a continuous time model. The exact Önite sample theory suggests that, in empirically realistic situations, there is a strong Önite sample bias in th...

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Bibliographic Details
Main Authors: JIANG, Liang, WANG, Xiaohu, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/1610
https://ink.library.smu.edu.sg/context/soe_research/article/2609/viewcontent/22_2014.pdf
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Institution: Singapore Management University
Language: English