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.

Autores Principales: Pérez Salvador, Blanca Rosa, García Salazar, María Guadalupe
Formato: Artículo
Idioma: Español
Publicado: 2015
Acceso en línea: http://revistas.ucr.ac.cr/index.php/matematica/article/view/2126
http://hdl.handle.net/10669/12977
Sumario: 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.