Break point estimators for a slope shift: levels versus first differences

DOI10.1111/J.1368-423X.2011.00355.XMaRDI QIDQ2896003zbMATH OpenOpenAlexFDO

Authors Jingjing Yang

Publication date 13 July 2012

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

Full work available at URL https://doi.org/10.1111/j.1368-423x.2011.00355.x

zbMATH Keywords

limiting distributionlinear processPitman drifttrend shift

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Inference from stochastic processes (62M99)

Recommendations

• ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS
• scientific article; zbMATH DE number 1240934
• Asymptotic distribution theory for break point estimators in models estimated via 2SLS
• A note on estimating a structural change in persistence
• Estimation of a level shift in panel data with fractionally integrated errors

Cites work

• A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 1082208 (Why is no real title available?)
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Structural breaks with deterministic and stochastic trends
• Testing for a shift in trend at an unknown date: a fixed-b analysis of heteroskedasticity autocorrelation robust OLS-based tests
• Testing for a unit root in the presence of a possible break in trend

Cited in

(2)

• Asymptotic distribution theory for break point estimators in models estimated via 2SLS
• Finite sample behaviour of the level shift model using quasi-differenced data

Describes a project that uses

Uses Software

• sm

This page was built for publication: Break point estimators for a slope shift: levels versus first differences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2896003)