Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1007/s003620000040 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/7WOS source URL
其它资讯
摘要This paper derives a sequential testing and estimation method for the number of change points in structural-change models. In the first step, the parameters are estimated by a one-change model. The null hypothesis that there is no structural change against the alternative of one change is tested. If the null is rejected, then the whole sample is split into two subsamples by using the estimated change point in the previous step as a cutoff point. The same procedure is repeated until the null in each subsample is accepted. We argue that this method can consistently estimate the number, locations and magnitudes of changes. Situations in which the sample splitting method fails are also discussed.
着者Chong TTL
期刊名称Statistical Papers
详细描述Statistical paper, 42 No.1
出版年份2001
月份1
日期1
卷号42
期次1
出版社SPRINGER
页次53 - http://aims.cuhk.edu.hk/converis/portal/Publication/79
国际标準期刊号0932-5026
电子国际标準期刊号1613-9http://aims.cuhk.edu.hk/converis/portal/Publication/798
语言英式英语
关键词Bessel process; Brownian motion; change-point estimator; multiple structural changes
Web of Science 学科类别Mathematics; Statistics & Probability; STATISTICS & PROBABILITY
