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We obtain the asymptotic distribution of the maximum likelihood ratio test when we test for possible changes in the regression coefficients. We also prove that the maximum likelihood ratio tests is asymptotically consistent. We propose an estimator for the time of change and show that it is almost surely consistent. We consider the cases when the variance remains constant and when it may change at an unknown time.
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Lajos H. Horvath (1995) studied this question.
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