Structural change estimation in time series regressions with endogenous variables

DOI10.1016/j.econlet.2014.10.021zbMath1311.62155OpenAlexW2012620249MaRDI QIDQ2345262

Liangjun Su, Junhui Qian

Publication date: 19 May 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1624

zbMATH Keywords

structural changepenalized least squaresmultiple breakspenalized GMMgroup fused lasso

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Economic time series analysis (91B84)

Related Items

Shrinkage estimation of multiple threshold factor models, Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso, Multi-Threshold Structural Equation Model, Implied Volatility Surface Estimation via Quantile Regularization, Bootstrapping structural change tests

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
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• A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Estimating and Testing Linear Models with Multiple Structural Changes
• Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS