Stochastic Permanent Breaks
提出一种随机永久断点过程，允许冲击的长期影响随时间随机变化，并建立了拟极大似然估计的一致性和渐近正态性，开发了随机游走原假设的局部最优检验，应用于股票相对价格得到显著结果。
This paper bridges the gap between processes where shocks are permanent and those with transitory shocks by formulating a process in which the long-run impact of each innovation is time-varying and stochastic. In the stochastic permanent breaks (STOPBREAK) process, frequent transitory shocks are supplemented by occasional permanent shifts. Consistency and asymptotic normality of quasi-maximum-likelihood estimates is established, and locally best hypothesis tests of the null of a random walk are developed. The model is applied to relative prices of pairs of stocks and significant test statistics result. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology