Multiple structural breaks in cointegrating regressions: a model selection approach
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Publication:2700541
Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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- Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating and Testing Structural Changes in Multivariate Regressions
- Functional-coefficient cointegration models
- Group Lasso for structural break time series
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Least squares after model selection in high-dimensional sparse models
- Model Selection and Estimation in Regression with Grouped Variables
- Model selection when there are multiple breaks
- Multiple Time Series Regression with Integrated Processes
- New Improved Tests for Cointegration with Structural Breaks
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
- On the distribution of the adaptive LASSO estimator
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Penalized estimation of high-dimensional models under a generalized sparsity condition
- Quantile cointegrating regression
- Residual-based tests for cointegration in models with regime shifts
- Shrinkage estimation of regression models with multiple structural changes
- Shrinkage tuning parameter selection with a diverging number of parameters
- Sparsity and Smoothness Via the Fused Lasso
- Structural breaks in time series
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Testing for multiple structural changes in cointegrated regression models
- Testing for structural breaks in cointegrated relationships
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Tests for cointegration with structural breaks based on subsamples
- The Adaptive Lasso and Its Oracle Properties
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- The sparsity and bias of the LASSO selection in high-dimensional linear regression
- Time Series Regression with a Unit Root
- Time-varying cointegration
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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