New distribution theory for the estimation of structural break point in mean
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Exact distribution theory in statistics (62E15) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
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- Generic consistency of the break‐point estimator under specification errors
Cites work
- scientific article; zbMATH DE number 3733065 (Why is no real title available?)
- scientific article; zbMATH DE number 3782216 (Why is no real title available?)
- scientific article; zbMATH DE number 1943903 (Why is no real title available?)
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
- Approximate bias correction in econometrics
- Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
- Asymptotic theory for linear diffusions under alternative sampling schemes
- Bias in the estimation of the mean reversion parameter in continuous time models
- Confidence sets for the date of a single break in linear time series regressions
- Cube root asymptotics
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Estimating and Testing Linear Models with Multiple Structural Changes
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
- Folklore theorems, implicit maps, and indirect inference
- Generalization of an inequality of Kolmogorov
- Indirect inference for dynamic panel models
- Inference about the change-point in a sequence of random variables
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
- Testing For and Dating Common Breaks in Multivariate Time Series
- The bootstrap and Edgeworth expansion
- Towards a unified asymptotic theory for autoregression
Cited in
(16)- In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES
- Estimation of a Structural Break Point in Linear Regression Models
- Point optimal testing with roots that are functionally local to unity
- ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Unit root test with high-frequency data
- In-fill asymptotic theory for structural break point in autoregressions
- Common breaks in means for cross-correlated fixed-\(T\) panel data
- Continuous record asymptotics for change-point models
- Continuous record Laplace-based inference about the break date in structural change models
- The Grid Bootstrap for Continuous Time Models
- Estimating a common break point in means for long-range dependent panel data
- GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
- Testing for homogeneous thresholds in threshold regression models
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