Constrained inference in multiple regression with structural changes

Chen Fuqi () and Nkurunziza Sévérien ()
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Chen Fuqi: Mathematics and Statistics, University of Windsor, 401 Sunset Avenue, Windsor, Ontario N9B 3P4, Canada
Nkurunziza Sévérien: Mathematics and Statistics, University of Windsor, 401 Sunset Avenue, Windsor, Ontario N9B 3P4, Canada

Statistics & Risk Modeling, 2014, vol. 31, issue 3-4, 237-257

Abstract: In this paper, we study an inference problem for the regression coefficients in some multivariate regression models with multiple change-points occurring at unknown times, when the regression coefficients may satisfy some restrictions. The hypothesized restriction is more general than that given in recent literature. Under a weaker assumption than that given in recent literature, we derive the joint asymptotic normality of the restricted and unrestricted estimators. Finally, we construct a test for the hypothesized restriction and derive its asymptotic power.

Keywords: Asymptotic normality; change-points; least-squares estimator; mixingale; regression model; structural changes model (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1515/strm-2012-1154

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