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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| 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 |