Structural change estimation in time series regressions with endogenous variables

DOI10.1016/j.econlet.2014.10.021zbMath1311.62155MaRDI QIDQ2345262

Liangjun Su, Junhui Qian

Publication date: 19 May 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1624

zbMATH Keywords

structural change; penalized least squares; multiple breaks; penalized GMM; group fused lasso

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

91B84: Economic time series analysis

Related Items

Implied Volatility Surface Estimation via Quantile Regularization, Shrinkage estimation of multiple threshold factor models, Multi-Threshold Structural Equation Model, Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso, Bootstrapping structural change tests

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Inference regarding multiple structural changes in linear models with endogenous regressors
• A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Estimating and Testing Linear Models with Multiple Structural Changes
• Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS