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New distribution theory for the estimation of structural break point in mean · Study

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ArticleNew distribution theory for the estimation of structural break point in mean

Liang Jiang2018

OA

Articlegreen2018

New distribution theory for the estimation of structural break point in mean

Liang Jiang · Xiaohu Wang · Jun Yu

23 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical Methods and Inference Statistical and numerical algorithms

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References

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1997Limit theorems in change-point analysis 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 1987Towards a Unified Asymptotic Theory for Autoregression 1970Inference About the Change-Point in a Sequence of Random Variables 1997Estimation of a Change Point in Multiple Regression Models 2005Dealing with Structural Breaks 1993Estimating nonlinear time-series models using simulated vector autoregressions

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2020In-fill asymptotic theory for structural break point in autoregressions

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Year2018

Typearticle

Published2018-03-25

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations23

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2018.03.009

openalex_workW2279204358

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