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Full-Text Articles in Social and Behavioral Sciences
On Bias In The Estimation Of Structural Break Points, Liang Jiang, Xiaohu Wang, Jun Yu
On Bias In The Estimation Of Structural Break Points, Liang Jiang, Xiaohu Wang, Jun Yu
Research Collection School Of Economics
Based on the Girsanov theorem, this paper obtains the exact Önite sample distribution of the maximum likelihood estimator of structural break points in a continuous time model. The exact Önite sample theory suggests that, in empirically realistic situations, there is a strong Önite sample bias in the estimator of structural break points. This property is shared by least squares estimator of both the absolute structural break point and the fractional structural break point in discrete time models. A simulation-based method based on the indirect estimation approach is proposed to reduce the bias both in continuous time and discrete time models. …
Three Essays On Nonstationary Time Series Analysis, Ye Chen
Three Essays On Nonstationary Time Series Analysis, Ye Chen
Dissertations and Theses Collection (Open Access)
Financial and macroeconomic time series data are often nonstationary. My dissertation consists of three essays concerning time series models with nonstationarity. Chapter 1 develops a new jackknife estimator for nonstationary autoregressive model. The remaining two chapters explore the restricted maximum likelihood (REML hereafter) estimation and the restricted maximum likelihood based likelihood ratio test (RLRT hereafter) in predictive regression. Chapter 1 proposes an improved jackknife estimator of the persistence parameter that works for both the discrete time unit root model and the continuous time unit root model. Maximum likelihood estimation of the persistence parameter in the discrete time unit root model …