Robust estimation of structural break points

作     者：Fiteni, I 

作者机构：Univ Carlos III Madrid Dept Estadist & Econometria Madrid 28903 Spain 

出 版 物：《ECONOMETRIC THEORY》 (计量经济学理论)

年 卷 期：2002年第18卷第2期

页      面：349-386页

核心收录：

学科分类：02[经济学] 0201[经济学-理论经济学] 0714[理学-统计学（可授理学、经济学学位）] 0701[理学-数学] 

主　　题：Objective functions Mathematical vectors Probabilities Point estimators Linear regression Consistent estimators Brownian motion Markovs inequality Sample size 

摘      要：This paper proposes robust M-estimators of dynamic linear models with a structural break of unknown location. Rates of convergence and limiting distributions for the estimated shift point and the estimated regression parameters are derived. The analysis is carried out in the framework of possibly dependent observations and also with trending regressors. The asymptotic distribution of the break location estimator is obtained both for fixed magnitude of shift and for shift with magnitude converging to zero as the sample size increases. The latter is essential for the derivation of feasible confidence intervals for the break location. Monte Carlo simulations illustrate the performance of asymptotic inferences in practice.