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ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS

Published online by Cambridge University Press:  16 May 2002

Inmaculada Fiteni
Affiliation:
Universidad Carlos III de Madrid
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Abstract

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This paper proposes robust M-estimators of dynamic linear models with a structural break of unknown location. Rates of convergence and limiting distributions for the estimated shift point and the estimated regression parameters are derived. The analysis is carried out in the framework of possibly dependent observations and also with trending regressors. The asymptotic distribution of the break location estimator is obtained both for fixed magnitude of shift and for shift with magnitude converging to zero as the sample size increases. The latter is essential for the derivation of feasible confidence intervals for the break location. Monte Carlo simulations illustrate the performance of asymptotic inferences in practice.

Information

Type
Research Article
Copyright
© 2002 Cambridge University Press