Before revision:  A limit distribution is provided under a in-fill asymptotic framework which verifies that the new estimator outperforms the least-squares estimator  .
After revision:  A limit distribution is provided under a in-fill asymptotic framework which verifies that the new estimator outperforms the least-squares estimator . I apply the method to estimate the break date in U.S. real GDP growth and U.S. and UK stock return prediction models .