Likelihood-ratio-based confidence sets for the timing of structural breaks
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Recommendations
- Confidence sets for the date of a single break in linear time series regressions
- Confidence sets for the date of a break in level and trend when the order of integration is unknown
- Confidence Sets for the Date of a Structural Change at the End of a Sample
- Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
- Confidence sets for the break date based on optimal tests
Cites work
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Boundary crossing probabilities and statistical applications
- Confidence Sets in Change-Point Problems
- Confidence sets for the date of a single break in linear time series regressions
- Critical values for multiple structural change tests
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating and Testing Structural Changes in Multivariate Regressions
- Model selection criteria in multivariate models with multiple structural changes
- Sample Splitting and Threshold Estimation
- Testing For and Dating Common Breaks in Multivariate Time Series
- Testing and estimating change-points in time series
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The asymptotic behavior of some nonparametric change-point estimators
- The minimum of an additive process with applications to signal estimation and storage theory
- The problem of the Nile: Conditional solution to a changepoint problem
Cited in
(22)- Testing for common breaks in a multiple equations system
- GLS estimation and confidence sets for the date of a single break in models with trends
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Confidence Sets for the Date of a Structural Change at the End of a Sample
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
- Confidence sets for the date of a single break in linear time series regressions
- scientific article; zbMATH DE number 7387535 (Why is no real title available?)
- Asymptotic properties of Bayesian inference in linear regression with a structural break
- Testing of Poisson mean with under-reported counts
- A modified confidence set for the structural break date in linear regression models
- Improved confidence sets for the date of a structural break
- Continuous record asymptotics for change-point models
- Continuous record Laplace-based inference about the break date in structural change models
- New critical values for likelihood ratio inference of threshold regression
- Bootstrap confidence intervals for a break date in linear regressions
- A confidence interval test for the detection of structural breaks
- Confidence sets for the date of a break in level and trend when the order of integration is unknown
- GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
- Likelihood-ratio-based confidence intervals for multiple threshold parameters
- Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
- A numerical method to obtain exact confidence intervals for likelihood-based parameter estimators
- The asymptotic behaviour of the residual sum of squares in models with multiple break points
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