Publication Type

Working Paper

Publication Date

1-2016

Abstract

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.

Keywords

Structural break, Bias reduction, Indirect estimation, Exact distribution, In-fill asymptotics

Discipline

Econometrics

Research Areas

Econometrics

Publisher

Singapore Management University, Economics and Statistics Working Papers, Paper No. 01-2016

City or Country

Singapore

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Included in

Econometrics Commons

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