Estimation of a Structural Break Point in Linear Regression Models
نویسندگان
چکیده
This study proposes a point estimator of the break location for one-time structural in linear regression models. If magnitude is small, least-squares date has two modes at ends finite sample period, regardless true location. To solve this problem, I suggest an alternative based on modification objective function. The modified function incorporates estimation uncertainty that varies across potential dates. new consistent and unimodal distribution under small magnitudes. A limit provided in-fill asymptotic framework. Monte Carlo simulation results outperforms estimator. apply method to estimate U.S. real GDP growth UK stock return prediction
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2023
ISSN: ['1537-2707', '0735-0015']
DOI: https://doi.org/10.1080/07350015.2022.2154777