In-fill asymptotic theory for structural break point in autoregressions

In-fill asymptotic theory for structural break point in autoregressions

This article obtains the exact distribution of the maximum likelihood estimator of structural break point in the Ornstein-Uhlenbeck process when a continuous record is available. The exact distribution is asymmetric, tri-modal, dependent on the initial condition. These three properties are also foun...

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Main Authors:	JIANG, Liang, WANG, Xiaohu, Jun YU
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2020
主題:	Asymmetry exact distribution highest density region long-span asymptotics in-fill asymptotics trimodality Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2433 https://ink.library.smu.edu.sg/context/soe_research/article/3432/viewcontent/In_fill_ER2020_av.pdf
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