Structural change estimation in time series regressions with endogenous variables

DOI10.1016/J.ECONLET.2014.10.021zbMATH Open1311.62155OpenAlexW2012620249MaRDI QIDQ2345262FDOQ2345262

Authors: Junhui Qian, Liangjun Su 

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

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zbMATH Keywords

structural changepenalized least squaresmultiple breakspenalized GMMgroup fused lasso

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Economic time series analysis (91B84)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• 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
• 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
• Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS

Cited In (7)

• Bootstrapping structural change tests
• A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
• Modeling and testing smooth structural changes with endogenous regressors
• Implied Volatility Surface Estimation via Quantile Regularization
• Multi-Threshold Structural Equation Model
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Shrinkage estimation of multiple threshold factor models

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