Xiangfan University,Shanghai University of Finance and Economics,Huazhong University of Science
and Technology

Combined with semiparametric regression model
and structural change model with unknown change point, a new
regression model --- semiparametric regression model with structural
change --- has been proposed. The weighted least squares estimator
of parameter $\beta,\beta^\ast,\gamma,k$ and the kernel estimator of
$f(t)$ are given, and $\sqrt{n}$-consistency properties of
$\beta,\beta^\ast,\gamma$'s estimator is proved. Also, the
estimator's strong consistency properties and some test problem
about the model are discussed. And, at last, we give a simulation
study to verify the superiority of our new model.