INFERENCES FOR THE LINEAR ERRORS-IN-VARIABLES WITH CHANGEPOINT MODELS

A new linear structural errors-in-variables regression with changepoin t model is considered. In this mode! we consider the likelihood ratio test based on the maximum Hotelling T-2 for the test of no change agai nst the alternative of exactly one change:If there is a change, either known a priori or by testing, then we estimate the unknown changepoin t parameter and some other related parameters by maximum likelihood. T he limiting distribution of the,changepoint estimator is investigated and it is shown that the asymptotic efficiency increases as the absolu te regression slope;coefficient increases. A Monte Carlo study shows t hat the proposed estimator performs satisfactorily.