Asymptotics of M-estimators in two-phase linear regression models
This paper discusses the consistency and limiting distributions of a class of M-estimators in two-phase random design linear regression models where the regression function is discontinuous at the change-point with a fixed jump size. The consistency rate of an M-estimator for the change-point parameter r is shown to be n while it is n1/2 for the coefficient parameter estimators, where n denotes the sample size. The normalized M-process is shown to be uniformly locally asymptotically equivalent to the sum of a quadratic form in the coefficient parameter vector and a jump point process in the change-point parameter, in probability. These results are then used to obtain the joint weak convergence of the M-estimators. In particular, is shown to converge weakly to a random variable which minimizes a compound Poisson process, a suitably standardized coefficient parameter M-estimator vector is shown to be asymptotically normal, and independent of .
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 103 (2003)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Müller, Hans-Georg & Song, Kai-Sheng, 1997. "Two-stage change-point estimators in smooth regression models," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 323-335, June. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:103:y:2003:i:1:p:123-154. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.