In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time

DOI10.1515/JTSE-2022-0013OpenAlexW4327908236MaRDI QIDQ6140373

Toshikazu Tayanagi, Eiji Kurozumi

Publication date: 22 January 2024

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2022-0013

zbMATH Keywords

time seriesstructural breakin-fill asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Asymptotic theory for linear diffusions under alternative sampling schemes
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• ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
• Towards a unified asymptotic theory for autoregression
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
• Inference about the change-point in a sequence of random variables
• In-fill asymptotic theory for structural break point in autoregressions

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