Structural change estimation in time series regressions with endogenous variables

DOI10.1016/J.ECONLET.2014.10.021MaRDI QIDQ2345262zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A model-free consistent test for structural change in regression possibly with endogeneity
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Time series econometrics. Volume 2. Structural change
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• Group Lasso for structural break time series

Cites work

• 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
• Estimating and Testing Linear Models with Multiple Structural Changes
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Large Sample Properties of Generalized Method of Moments Estimators
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(12)

• Shrinkage estimation of regression models with multiple structural changes
• A model-free consistent test for structural change in regression possibly with endogeneity
• Modeling and testing smooth structural changes with endogenous regressors
• Bootstrapping structural change tests
• Oracle efficient estimation of structural breaks in cointegrating regressions
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Group Lasso for structural break time series
• Shrinkage estimation of multiple threshold factor models
• A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Multi-Threshold Structural Equation Model
• Implied volatility surface estimation via quantile regularization

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