New distribution theory for the estimation of structural break point in mean
DOI10.1016/J.JECONOM.2018.03.009zbMATH Open1452.62187OpenAlexW2279204358MaRDI QIDQ1754516FDOQ1754516
Authors: Liang Jiang, Xiaohu Wang, Jun Yu 
Publication date: 31 May 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1782
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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)
Cites Work
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- Generalization of an inequality of Kolmogorov
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- Towards a unified asymptotic theory for autoregression
- Cube root asymptotics
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- Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
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- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
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- Asymptotic theory for linear diffusions under alternative sampling schemes
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- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
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Cited In (15)
- Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data
- 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
- In-fill asymptotic theory for structural break point in autoregressions
- The Grid Bootstrap for Continuous Time Models
- Continuous record Laplace-based inference about the break date in structural change models
- Estimating a common break point in means for long-range dependent panel data
- GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
- UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
- Testing for homogeneous thresholds in threshold regression models
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