Generic consistency of the break-point estimators under specification errors in a multiple-break model

DOI10.1111/J.1368-423X.2008.00237.XMaRDI QIDQ3521276zbMATH OpenOpenAlexFDO

Authors Jushan Bai, Hai-Qiang Chen, Terence T. L. Chong, Seraph Xin Wang

Publication date 21 August 2008

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2008.00237.x

zbMATH Keywords

Consistencymeasurement errormisspecificationmultiple changes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Convergence of stochastic processes
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the locations and number of change points by the sample-splitting method
• Estimating the number of change-points via Schwarz' criterion
• Generic consistency of the break‐point estimator under specification errors
• On stationary tests in the presence of structural breaks
• OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL
• Partial parameter consistency in a misspecified structural change model
• Strong rules for detecting the number of breaks in a time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The effect of measurement error
• Vector attenuation bias in the classical errors-in-variables model

Cited in

(12)

• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Structural-break models under mis-specification: implications for forecasting
• Estimation and inference of threshold regression models with measurement errors
• Approximate p-values of certain tests involving hypotheses about multiple breaks
• Least squares estimation and tests of breaks in mean and variance under misspecification
• An Omnibus Test for Time Series ModelI(d)
• Generic consistency of the break‐point estimator under specification errors
• Structural change in nonstationary \(\mathrm{AR}(1)\) models
• Consistency of the least squares estimator in threshold regression with endogeneity
• Theory and applications of TAR model with two threshold variables
• Inference regarding multiple structural changes in linear models with endogenous regressors
• The asymptotic behaviour of the residual sum of squares in models with multiple break points

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