Estimation of a change in linear models

An estimator of the change point in the linear model is proposed and its asymptotic properties (the rate of consistency and the limit distribution) are derived. This estimator is then used to construct estimators for the magnitude of the change of the regression parameters and of the scale. Their asymptotic properties are studied too.

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Year of publication:	1996
Authors:	Husková, Marie
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 26.1996, 1, p. 13-24
Publisher:	Elsevier
Keywords:	Change point problem Estimators Linear models

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223723