Estimating restricted structural change models

DOI10.1016/j.jeconom.2005.06.030zbMath1418.62273MaRDI QIDQ278183

Pierre Perron, Zhongjun Qu

Publication date: 2 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.030

zbMATH Keywords

model selection; hypothesis testing; change-point; break dates; segmented regressions

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

62F03: Parametric hypothesis testing

Related Items

Piecewise FARIMA models for long-memory time series, The limit distribution of the estimates in cointegrated regression models with multiple structural changes, Factor-augmented regression models with structural change, Consistency of the least squares estimator in threshold regression with endogeneity, Asymptotic distribution of the jump change-point estimator, Optimal method in multiple regression with structural changes, Structural-break models under mis-specification: implications for forecasting, A class of Stein-rules in multivariate regression model with structural changes, WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE, A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS, GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES

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