Based on the Girsanov theorem, this paper first obtains the exact distribution of the maximum likelihood estimator of structural break point in a continuous time model. The exact distribution is asymmetric and tri-modal, indicating that the estimator is seriously biased. These two properties are also found in the infinite sample distribution of the least squares estimator of structural break point in the discrete time model. The paper then builds a continuous time approximation to the discrete time model and develops an in-fill asymptotic theory for the least squares estimator.
Structural break, Bias reduction, Indirect estimation, Exact distribution, In-fill asymptotics
Singapore Management University, Economics and Statistics Working Papers, Paper No. 01-2016
City or Country
JIANG LIANG; WANG, Xiaohu; and YU, Jun.
New Distribution Theory for the Estimation of Structural Break Point in Mean. (2016). Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/2121
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