CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2010, 26(5) 501-514 DOI:      ISSN: 1001-4268 CN: 31-1256

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article

A Semiparametric Regression Model with Structural Change

Wang Chengyong,Ai Chunrong,Wang Shaoping

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

Abstract��

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.

Keywords��