Pre and post break parameter inference

Journal of Econometrics

Volumn 180, Issue 2, 2014, Pages 141-157

  Elliott, Graham ^a   Müller, Ulrich K ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b PRINCETON UNIVERSITY   (United States)

Author keywords

Asymptotic efficiency of tests; Convergence of experiments; Structural breaks; Time varying parameters

Indexed keywords

TIME SERIES;

ASYMPTOTIC EFFICIENCY; CONFIDENCE INTERVAL; GAUSSIAN PROCESSES; PARAMETER INFERENCE; STRUCTURAL BREAK; TIME SERIES MODELING; TIME SERIES MODELS; TIME VARYING PARAMETER;

EXPERIMENTS;

EID: 84899623168     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2014.03.007     Document Type: Article

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