Consistency of Trend Break Point Estimator with Underspecified Break Number

Consistency of Trend Break Point Estimator with Underspecified Break Number

This paper discusses the consistency of trend break point estimators when the number of breaks is underspecified. The consistency of break point estimators in a simple location model with level shifts has been well documented by researchers under various settings, including extensions such as allowi...

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Bibliographic Details
Main Author: Jingjing Yang
Format: Article
Language:English
Published: MDPI AG 2017-01-01
Series:Econometrics
Subjects:
deterministic trend
linear trend
multiple trend shifts
underspecified break number
Pitman drift
limiting distribution
Online Access:http://www.mdpi.com/2225-1146/5/1/4

Internet

http://www.mdpi.com/2225-1146/5/1/4

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