A Semiparametric Regression Model with Structural Change
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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 \sqrtn-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.
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