Estimation of a Change Point in Multiple Regression Models
研究多元回归中变点的最小二乘估计，给出估计量的一致性、收敛速度和渐近分布，允许滞后因变量、趋势回归元及异方差误差，并应用于市场利率对贴现率变化的响应分析。
This paper studies the least squares estimation of a change point in multiple regressions. Consistency, rate of convergence, and asymptotic distributions are obtained. The model allows for lagged dependent variables and trending regressors. The error process can be dependent and heteroskedastic. For nonstationary regressors or disturbances, the asymptotic distribution is shown to be skewed. The analytical density function and the cumulative distribution function for the general skewed distribution are derived. The analysis applies to both pure and partial changes. The method is used to analyze the response of market interest rates to discount rate changes. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology