Estimating restricted structural change models

DOI10.1016/j.jeconom.2005.06.030zbMath1418.62273OpenAlexW2014820345MaRDI QIDQ278183

Zhongjun Qu, Pierre Perron

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 selectionhypothesis testingchange-pointbreak datessegmented regressions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (29)

Bootstrap confidence intervals for a break date in linear regressions ⋮ The limit distribution of the estimates in cointegrated regression models with multiple structural changes ⋮ Piecewise FARIMA models for long-memory time series ⋮ GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ Optimal method in multiple regression with structural changes ⋮ A note on change in persistence of U.S. city prices ⋮ Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points ⋮ Threshold regression with endogeneity ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Factor-augmented regression models with structural change ⋮ Consistency of the least squares estimator in threshold regression with endogeneity ⋮ Estimation and testing in generalized mean-reverting processes with change-point ⋮ Deviations from rules-based policy and their effects ⋮ Inference regarding multiple structural changes in linear models with endogenous regressors ⋮ Estimation and inference in unstable nonlinear least squares models ⋮ Asymptotic distribution of the jump change-point estimator ⋮ A class of Stein-rules in multivariate regression model with structural changes ⋮ Continuous record Laplace-based inference about the break date in structural change models ⋮ Estimating restricted common structural changes for panel data ⋮ Structural changes estimation for strongly dependent processes ⋮ Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies ⋮ GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES ⋮ WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE ⋮ A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models ⋮ Inference on locally ordered breaks in multiple regressions ⋮ The asymptotic behaviour of the residual sum of squares in models with multiple break points ⋮ Structural-break models under mis-specification: implications for forecasting ⋮ A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Optimal changepoint tests for normal linear regression
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Matrix Analysis
• RECURSIVE RESIDUALS FOR MULTIVARIATE REGRESSION MODELS
• Testing For and Dating Common Breaks in Multivariate Time Series
• Critical values for multiple structural change tests
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

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