Generic consistency of the break-point estimators under specification errors in a multiple-break model

DOI10.1111/j.1368-423X.2008.00237.xzbMath1141.91633OpenAlexW2143762562MaRDI QIDQ3521276

Terence Tai-Leung Chong, Seraph Xin Wang, Jushan Bai, Hai-Qiang Chen

Publication date: 21 August 2008

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00237.x

zbMATH Keywords

measurement errormisspecificationConsistencymultiple changes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (8)

Theory and Applications of TAR Model with Two Threshold Variables ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ Estimation and inference of threshold regression models with measurement errors ⋮ Consistency of the least squares estimator in threshold regression with endogeneity ⋮ Inference regarding multiple structural changes in linear models with endogenous regressors ⋮ An Omnibus Test for Time Series ModelI(d) ⋮ Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks ⋮ Structural-break models under mis-specification: implications for forecasting

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Estimating the number of change-points via Schwarz' criterion
• Vector attenuation bias in the classical errors-in-variables model
• Partial parameter consistency in a misspecified structural change model
• On stationary tests in the presence of structural breaks
• Strong rules for detecting the number of breaks in a time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The effect of measurement error
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Generic consistency of the break‐point estimator under specification errors
• Estimating and Testing Linear Models with Multiple Structural Changes
• OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL
• Convergence of stochastic processes
• Estimating the locations and number of change points by the sample-splitting method

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