Estimating and Testing Structural Changes in Multivariate Regressions
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- Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
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- Finite sample multivariate structural change tests with application to energy demand models
- Adaptive LASSO model selection in a multiphase quantile regression
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- Testing for structural change in regression quantiles
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- Two tests for sequential detection of a change-point in a nonlinear model
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- Estimating and Testing Linear Models with Multiple Structural Changes
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- Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
- Testing jointly for structural changes in the error variance and coefficients of a linear regression model
- Factor-augmented regression models with structural change
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- Oracle efficient estimation of structural breaks in cointegrating regressions
- Bootstrap confidence intervals for a break date in linear regressions
- Inference and testing breaks in large dynamic panels with strong cross sectional dependence
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- Dealing with Markov-switching parameters in quantile regression models
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- Testing for structural changes in linear regressions with time-varying variance
- Asymptotic distribution theory for break point estimators in models estimated via 2SLS
- Estimating and testing multiple structural changes in linear models using band spectral regressions
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- Testing for shifts in mean with monotonic power against multiple structural changes
- A Bayesian model for multiple change point to extremes, with application to environmental and financial data
- Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
- Testing for parameter constancy in the time series direction in panel data models
- Inference regarding multiple structural changes in linear models with endogenous regressors
- Estimation and inference in unstable nonlinear least squares models
- Delay time in monitoring jump changes in linear models
- Retrospective analysis of structural changes in econometric models
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- On estimation of the change points in multivariate regression models with structural changes
- Improved confidence sets for the date of a structural break
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
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- Inference on locally ordered breaks in multiple regressions
- The asymptotic behaviour of the residual sum of squares in models with multiple break points
- Detecting Multiple Change Points: The PULSE Criterion
- Change point test for structural vector autoregressive model via independent component analysis
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Penetrating sporadic return predictability
- Specification tests for time-varying coefficient models
- A general procedure for change-point detection in multivariate time series
- GLS estimation and confidence sets for the date of a single break in models with trends
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
- Asymptotic properties of Bayesian inference in linear regression with a structural break
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