A method is presented for computing maximum likelihood, or Gaussian, estimators of the structural parameters in a continuous time system of higherorder stochastic differential equations. It is argued that it is computationally efficient in the standard case of exact observations made at equally...

A quasi-maximum likelihood estimator of the break date is analyzed. Consistency of the estimator is demonstrated under very general conditions, provided that the data-generating process is not integrated. However, the asymptotic distribution of the estimator is quite different for time series...