Strong rules for detecting the number of breaks in a time series

DOI10.1016/S0304-4076(03)00147-7zbMath1030.62060MaRDI QIDQ1414624

Filippo Altissimo, Valentina Corradi

Publication date: 4 December 2003

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

zbMATH Keywords

Brownian bridgeLaw of the iterated logarithmMultiple structural breaksSequential hypothesis testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical analysis (62L10)

Related Items

Least squares estimation and tests of breaks in mean and variance under misspecification, Selection of estimation window in the presence of breaks, Monitoring disruptions in financial markets, The limit distribution of the estimates in cointegrated regression models with multiple structural changes, Optimal difference-based variance estimators in time series: a general framework, The macroeconomic and fiscal implications of inflation forecast errors, A test for changing trends with monotonic power, Selection of an estimation window in the presence of data revisions and recent structural breaks, Restoring monotone power in the CUSUM test, Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models, Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings, Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach, Equivariant variance estimation for multiple change-point model, Generic consistency of the break-point estimators under specification errors in a multiple-break model, Testing the structural stability of temporally dependent functional observations and application to climate projections, Optimal forecasts in the presence of structural breaks, MODEL SELECTION AND INFERENCE: FACTS AND FICTION, Restoring monotonic power in Wald/LM-type tests, Monitoring multivariate time series, Segmenting mean-nonstationary time series via trending regressions, Powerful tests for structural changes in volatility, An omnibus test to detect time-heterogeneity in time series, Interaction between stock indices via changepoint analysis, Bounds for inference with nuisance parameters present only under the alternative, Bayes Estimation of Shift Point in Normal Sequence and Its Application to Statistical Process Control, Deciding between GARCH and stochastic volatility via strong decision rules, Structural breaks in time series, On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests, Estimation and model selection based inference in single and multiple threshold models.

Cites Work

• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• On strong invariance principles under dependence assumptions
• Two LIL-type results for the Brownian bridge
• Estimating the number of change-points via Schwarz' criterion
• A maximal inequality and dependent strong laws
• Likelihood ratio tests for multiple structural changes
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Spurious number of breaks
• Testing for structural change in a long-memory environment
• The Cusum Test with Ols Residuals
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Real Analysis and Probability
• Monitoring Structural Change
• Long memory and regime switching