In-fill asymptotic theory for structural break point in autoregression: A unified theory

In-fill asymptotic theory for structural break point in autoregression: A unified theory

This paper obtains the exact distribution of the maximum likelihood estimatorof structural break point in the OrnsteinñUhlenbeck process when a continuousrecord is available. The exact distribution is asymmetric, tri-modal, dependenton the initial condition. These three properties are also found in...

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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 2017
Subjects:
Asymmetry
Bias
Exact distribution
Long-span asymptotics
In-fill asymptotics
Trimodality
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1968
https://ink.library.smu.edu.sg/context/soe_research/article/2967/viewcontent/In_fill_Asymptotic_Theory_for_Structural_Break_Point_in_Autoregression.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1968
https://ink.library.smu.edu.sg/context/soe_research/article/2967/viewcontent/In_fill_Asymptotic_Theory_for_Structural_Break_Point_in_Autoregression.pdf

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