Structural Change Analysis in Linear Regression Model.

Assuming that the observations are from normal distribution we obtain de distribution of the maximum likelihood ratio test if there is a change in the parameters at an unknown time and we find the maximum likehood estimators of the time change too.

Main Authors: Pérez Salvador, Blanca Rosa, García Salazar, María Guadalupe
Format: Artículo
Language: Español
Published: 2015
Online Access: http://revistas.ucr.ac.cr/index.php/matematica/article/view/2126
http://hdl.handle.net/10669/12977
Summary: Assuming that the observations are from normal distribution we obtain de distribution of the maximum likelihood ratio test if there is a change in the parameters at an unknown time and we find the maximum likehood estimators of the time change too.