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Constrained inference in multiple regression with structural changes. (English) Zbl 1308.62051

Summary: In this paper, we study an inference problem for the regression coefficients in some multivariate regression models with multiple change-points occurring at unknown times, when the regression coefficients may satisfy some restrictions. The hypothesized restriction is more general than that given in recent literature. Under a weaker assumption than that given in recent literature, we derive the joint asymptotic normality of the restricted and unrestricted estimators. Finally, we construct a test for the hypothesized restriction and derive its asymptotic power.

MSC:

62F30 Parametric inference under constraints
62J05 Linear regression; mixed models
62G10 Nonparametric hypothesis testing
62E20 Asymptotic distribution theory in statistics
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