New Distribution Theory for the Estimation of Structural Break Point in Mean
Based on the Girsanov theorem, this paper first obtains the exact distribution of the maximum likelihood estimator of structural break point in a continuous time model. The exact distribution is asymmetric and tri-modal, indicating that the estimator is seriously biased. These two properties are als...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1782 https://ink.library.smu.edu.sg/context/soe_research/article/2781/viewcontent/01_2016__1_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |