Continuous record asymptotics for structural change models

No abstract is available for this paper.

• Publication year

  2018

• Venue

  arXiv: Statistics Theory

• Publication date

  2018-03-28

• Fields of study

  Mathematics, Economics

• Identifiers

  No identifiers available.

• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Essex Finance Centre Working Paper Series Working Paper No 44 : 02-2019 “ Deterministic Parameter Change Models in Continuous and Discrete Time ” “

  2019cited by this paper
• Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

  2018influential reference
• Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework

  2018cited by this paper
• Continuous Record Laplace-based Inference about the Break Date in Structural Change Models

  2018cited by this paper
• New distribution theory for the estimation of structural break point in mean

  2018cited by this paper
• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models

  2018cited by this paper
• In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory

  2017cited by this paper
• Testing for State-Dependent Predictive Ability

  2017cited by this paper
• Adaptive estimation of continuous-time regression models using high-frequency data

  2017cited by this paper
• Improved Tests for Forecast Comparisons in the Presence of Instabilities

  2016cited by this paper
• High-Frequency Financial Econometrics

  2016cited by this paper
• Generalized Method of Integrated Moments for High‐Frequency Data

  2016cited by this paper
• Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors

  2015cited by this paper
• NEARLY OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT UNDER THE NULL HYPOTHESIS

  2015cited by this paper
• A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix

  2014cited by this paper
• High-Frequency Financial Econometrics

  2014cited by this paper
• A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

  2013cited by this paper
• Inference regarding multiple structural changes in linear models with endogenous regressors☆

  2012cited by this paper
• Quarticity and other functionals of volatility: Efficient estimation

  2012influential reference
• Discretization of Processes

  2011cited by this paper
• Asymptotics and optimal bandwidth selection for highest density region estimation

  2010cited by this paper
• Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope

  2009cited by this paper
• Asymptotic normality of plug-in level set estimates.

  2009cited by this paper
• Estimating and Testing Structural Changes in Multivariate Regressions

  2007influential reference
• Estimating restricted structural change models

  2006cited by this paper
• Efficient Tests for General Persistent Time Variation in Regression Coefficients

  2006influential reference
• A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend

  2006cited by this paper
• Econometric Theory and Practice: Multiple Structural Change Models: A Simulation Analysis

  2006cited by this paper
• Structural breaks with deterministic and stochastic trends

  2005influential reference
• Dealing with Structural Breaks

  2005influential reference
• Confidence Sets for the Date of a Single Break in Linear Time Series Regressions

  2004influential reference
• Small-diffusion asymptotics for discretely sampled stochastic differential equations

  2003cited by this paper
• Intégrales Stochastiques I

  2002cited by this paper
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

  2002influential reference
• Nonmonotonic power for tests of a mean shift in a time series

  2001cited by this paper
• Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics

  2001influential reference
• On sequential estimation of parameters in semimartingale regression models with continuous time parameter

  2001cited by this paper
• Stochastic volatility models as hidden Markov models and statistical applications

  2000influential reference
• Computation and analysis of multiple structural

  2000cited by this paper
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series

  1999cited by this paper
• Asymptotic error distributions for the Euler method for stochastic differential equations

  1998cited by this paper
• Estimation of a Change Point in Multiple Regression Models

  1997influential reference
• Appendix: probability and measure

  1997cited by this paper
• Limit Theorems in Change-Point Analysis

  1997cited by this paper
• Computing and Graphing Highest Density Regions

  1996cited by this paper
• Estimating and testing linear models with multiple structural changes

  1995influential reference
• Least squares estimation of a shift in linear processes

  1994influential reference
• The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations

  1993cited by this paper
• Generic Uniform Convergence

  1992influential reference
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

  1992influential reference
• Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative

  1992cited by this paper
• Cube Root Asymptotics

  1990influential reference
• A Sufficient Condition for Asymptotic Sufficiency of Incomplete Observations of a Diffusion Process

  1990cited by this paper
• Stochastic integration and differential equations

  1990cited by this paper
• Testing for the Constancy of Parameters over Time

  1989cited by this paper
• The likelihood ratio test for a change-point in simple linear regression

  1989cited by this paper
• Limit Theorems for Stochastic Processes

  1987cited by this paper
• Approximating the Distribution of the Maximum Likelihood Estimate of the Change-Point in a Sequence of Independent Random Variables

  1987influential reference
• Brownian Motion and Stochastic Calculus

  1987influential reference
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: General multiparameter case

  1987cited by this paper
• Quasi-least-squares estimation in semimartingale regression models

  1986influential reference
• Testing and estimating change-points in time series

  1985cited by this paper
• TESTING AND ESTIMATING CHANGE-POINTS

  1985influential reference
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters

  1983cited by this paper
• Statistical estimation : asymptotic theory

  1981cited by this paper
• On Mixing and Stability of Limit Theorems

  1978cited by this paper
• Testing a Sequence of Observations for a Shift in Location

  1977cited by this paper
• Inference about the change-point from cumulative sum tests

  1971influential reference

• Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective

  2021cites this paper
• Testing jointly for structural changes in the error variance and coefficients of a linear regression model

  2020cites this paper
• BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA

  2020cites this paper
• Time-Varying Parameters in Continuous and Discrete Time

  2018influential citation
• Structural Breaks in Time Series

  2018influential citation
• Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework

  2018influential citation
• GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS

  2018cites this paper
• Continuous Record Laplace-based Inference about the Break Date in Structural Change Models

  2018cites this paper