Noncommon Breaks

DOI10.1080/07350015.2024.2301969MaRDI QIDQ7023620zbMATH OpenFDO

Authors Simon Smith

Publication date 21 February 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2024.2301969

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Approximately normal tests for equal predictive accuracy in nested models
• Common breaks in means and variances for panel data
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimation and comparison of multiple change-point models
• Estimation and Forecasting in Models with Multiple Breaks
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Estimation of heterogeneous panels with structural breaks
• Forecasting Time Series Subject to Multiple Structural Breaks
• Inference from iterative simulation using multiple sequences
• Predictability of stock returns and asset allocation under structural breaks
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Structural Breaks in Grouped Heterogeneity
• Testing For and Dating Common Breaks in Multivariate Time Series
• Tests of Conditional Predictive Ability

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