Likelihood ratio tests for multiple structural changes

DOI10.1016/S0304-4076(98)00079-7zbMath1041.62514WikidataQ126804635 ScholiaQ126804635MaRDI QIDQ1298460

Jushan Bai

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Hypothesis testingLimiting distributionDynamic modelsStructural changeMultiple change pointsTrending regressors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (34)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Detecting at‐Most‐m Changes in Linear Regression Models ⋮ A joint test for structural stability and a unit root in autoregressions ⋮ Confidence sets for the date of a single break in linear time series regressions ⋮ Delay times of sequential procedures for multiple time series regression models ⋮ On consistency of minimum description length model selection for piecewise autoregressions ⋮ Change points detection and parameter estimation for multivariate time series ⋮ CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS ⋮ Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model ⋮ Semiparametric method for identifying multiple change-points in financial market ⋮ Empirical likelihood for break detection in time series ⋮ Two tests for sequential detection of a change-point in a nonlinear model ⋮ Empirical likelihood test in a posteriori change-point nonlinear model ⋮ Moving ratio test for multiple changes in persistence ⋮ Testing for shifts in mean with monotonic power against multiple structural changes ⋮ Testing for multiple structural changes with non-homogeneous regressors ⋮ Strong rules for detecting the number of breaks in a time series ⋮ Structural break detection in financial durations ⋮ Exact post-selection inference for the generalized Lasso path ⋮ Segmenting mean-nonstationary time series via trending regressions ⋮ Estimation and inference in unstable nonlinear least squares models ⋮ An omnibus test to detect time-heterogeneity in time series ⋮ A general criterion to determine the number of change-points ⋮ The transmission of shocks between Europe, Japan and the United States ⋮ Extensions of some classical methods in change point analysis ⋮ Model selection criteria in multivariate models with multiple structural changes ⋮ Structural changes in the cointegrated vector autoregressive model ⋮ Testing for parameter constancy in the time series direction in panel data models ⋮ Empirical likelihood confidence regions for the parameters of a two phases nonlinear model with and without missing response data ⋮ Testing for structural change of AR model to threshold AR model ⋮ Deciding between GARCH and stochastic volatility via strong decision rules ⋮ Structural breaks in time series ⋮ Detection and Estimation of Jump Points in Non parametric Regression Function withAR(1) Noise ⋮ Inference for single and multiple change-points in time series

Cites Work

• Unnamed Item
• Recent developments in the econometrics of structural change
• Optimal changepoint tests for normal linear regression
• Exact tests for structural change in first-order dynamic models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Testing for Structural Change in Dynamic Models
• Crossing probabilities for a square root boundary by a bessel process
• Estimating and Testing Linear Models with Multiple Structural Changes
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework

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