Estimation of change-points in linear and nonlinear time series models
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Publication:2801992
DOI10.1017/S0266466614000863zbMATH Open1442.62749MaRDI QIDQ2801992FDOQ2801992
Publication date: 22 April 2016
Published in: Econometric Theory (Search for Journal in Brave)
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Title not available (Why is that?)
- Break detection in the covariance structure of multivariate time series models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Testing and estimating change-points in time series
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Estimating and Testing Linear Models with Multiple Structural Changes
- Structural Break Estimation for Nonstationary Time Series Models
- The maximum likelihood method for testing changes in the parameters of normal observations
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Testing for a change in the parameter values and order of an autoregressive model
- Testing for Change Points in Time Series
- Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Structural change in AR(1) models
- Testing For and Dating Common Breaks in Multivariate Time Series
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Inference about the change-point in a sequence of random variables
- The asymptotic behavior of some nonparametric change-point estimators
- Estimating and Testing Structural Changes in Multivariate Regressions
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Testing for change points in time series models and limiting theorems for NED sequences
- Inference about the change-point in a sequence of binomial variables
- Testing for structural breaks in dynamic factor models
- Testing for structural stability in the whole sample
- AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK
- Asymptotic efficient estimation of the change point with unknown distributions
- TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
- A Mathematical Theory of the Incidence of Taxation
- A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
Cited In (16)
- Estimation in a change-point non linear quantile model
- BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES
- Change point estimation in regression model with response missing at random
- Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
- Location and scale-based CUSUM test with application to autoregressive models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Change-point analysis in nonstationary stochastic models
- Estimators for the Time of Change in Linear Models
- Real-time detection of a change-point in a linear expectile model
- Optimal change-point estimation in time series
- Inferences for the Linear Errors-in-Variables With Changepoint Mode
- Estimation of structural changes in nonlinear time series models by using particle filters and genetic programming
- Change Point Estimation of Multivariate Linear Profiles Under Linear Drift
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- The asymptotic behaviour of the residual sum of squares in models with multiple break points
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