Robust estimation of structural break points

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dc.contributor.author Fiteni, Inmaculada
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2011-04-04T15:41:29Z
dc.date.available 2011-04-04T15:41:29Z
dc.date.issued 1998-07
dc.identifier.uri http://hdl.handle.net/10016/10685
dc.description.abstract This paper is concerned with robust estimation of change points in regrt!ssion models, possibly with trending regressors. We obtain the rate of convergence and the asymptotic distribution of M-estimators of the regression coefficients and the change point with serially dependent observations. The asymptotic properties of the estimators are developed assuming that the size of the jump is fixed as well as it shrinks to zero as the sample size increases. In the first case, the asymptotic distribution of the change point estimator is difficult to tabulate. The performance of asymptotic inferences in practice is illustrated by means of Monte Carlo simulations.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 98-51
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Structural breaks
dc.subject.other Robustness
dc.subject.other M-estimators
dc.subject.other t-estimators
dc.subject.other Serial dependence
dc.title Robust estimation of structural break points
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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