In-fill asymptotic theory for structural break point in autoregressions

• Main Authors: JIANG, Liang, WANG, Xiaohu, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Asymmetry; exact distribution; highest density region; long-span asymptotics; in-fill asymptotics; trimodality; Econometrics
• Online Access: 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
• Institution: Singapore Management University

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...