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...

全面介紹

Saved in:
書目詳細資料
Main Authors: JIANG, Liang, WANG, Xiaohu, YU, Jun
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2017
主題:
Asymmetry
Bias
Exact distribution
Long-span asymptotics
In-fill asymptotics
Trimodality
Econometrics
在線閱讀: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
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!
機構: Singapore Management University
語言: English

因特網

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

相似書籍