ESTIMATORS FOR THE TIME OF CHANGE IN LINEAR-MODELS

Authors
HORVATH L HUSKOVA M SERBINOWSKA M
Citation
L. Horvath et al., ESTIMATORS FOR THE TIME OF CHANGE IN LINEAR-MODELS, Statistics, 29(2), 1997, pp. 109-130
Citations number
16
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Statistics → ACNP
ISSN journal
02331888
Volume
29
Issue
2
Year of publication
1997
Pages
109 - 130
Database
ISI
SICI code
0233-1888(1997)29:2<109:EFTTOC>2.0.ZU;2-H
Abstract
We derive an estimator for the time of change in a linear model when t he regression coefficients and the variance may change. The asymptotic distribution of the estimator is computed. The method is used to cons truct confidence interval for the time of change in gross domestic pro duct in the United States between 1929 and 1967.