In-fill asymptotic theory for structural break point in autoregression

In-fill asymptotic theory for structural break point in autoregression

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, trimodal, dependent on the initial condition. These three properties are also found...

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Bibliographic Details
Main Authors: JIANG, Liang, WANG, Xiaohu, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
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/2551
https://ink.library.smu.edu.sg/context/soe_research/article/3550/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/2551
https://ink.library.smu.edu.sg/context/soe_research/article/3550/viewcontent/In_fill_Asymptotic_Theory_for_Structural_Break_Point_in_Autoregression.pdf

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