Estimating and Testing Linear Models with Multiple Structural Changes

DOI10.2307/2998540zbMATH Open1056.62523OpenAlexW1491711721MaRDI QIDQ4530902FDOQ4530902

Authors: Jushan Bai, Pierre Perron 

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/63516

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Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cited In (only showing first 100 items - show all)

• Detecting multiple generalized change-points by isolating single ones
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• Delay time in monitoring jump changes in linear models
• Consistent change-point detection with kernels
• Recursive computation of piecewise constant volatilities
• The power of tests of predictive ability in the presence of structural breaks
• A nonparametric test for changing trends
• Nonparametric estimation of structural change points in volatility models for time series
• Small sample properties of forecasts from autoregressive models under structural breaks
• Structural breaks with deterministic and stochastic trends
• Change-point detection in multinomial data with a large number of categories
• Nonparametric simultaneous testing for structural breaks
• Group Lasso for structural break time series
• Change-point testing for parallel data sets with FDR control
• BayesProject: fast computation of a projection direction for multivariate changepoint detection
• Multiple breaks detection in general causal time series using penalized quasi-likelihood
• Arbitrarily shaped multiple spatial cluster detection for case event data
• Estimating the Hurst parameter in financial time series via heuristic approaches
• \(\tau\)-estimators of regression models with structural change of unknown location
• Testing for change points in partially linear models
• Adaptive estimation of autoregressive models with time-varying variances
• Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
• Testing jointly for structural changes in the error variance and coefficients of a linear regression model
• Quasi-maximum likelihood estimation for multiple volatility shifts
• Limit theory for moderate deviations from a unit root with a break in variance
• Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search
• Estimating and Testing Structural Changes in Multivariate Regressions
• Estimating restricted structural change models
• Selection of estimation window in the presence of breaks
• A computationally efficient nonparametric approach for changepoint detection
• Estimating structural changes in regression quantiles
• Model selection by LASSO methods in a change-point model
• Nonparametric maximum likelihood approach to multiple change-point problems
• Shrinkage estimation of regression models with multiple structural changes
• Testing economic convergence in non-stationary panel
• Model selection in the presence of nonstationarity
• Confidence sets for the date of a single break in linear time series regressions
• Finite sample multivariate structural change tests with application to energy demand models
• Likelihood ratio tests for multiple structural changes
• Testing for multiple change points
• Model selection criteria in multivariate models with multiple structural changes
• Covariance changes detection in multivariate time series
• Structural breaks in time series
• Adaptive forecasting in the presence of recent and ongoing structural change
• Improved tests for forecast comparisons in the presence of instabilities
• Structural changes in the cointegrated vector autoregressive model
• Critical values and \(p\) values of Bessel process distributions: computation and application to structural break tests
• Nonparametric inference on structural breaks
• Inference on a structural break in trend with fractionally integrated errors
• Inference for single and multiple change-points in time series
• Strong rules for detecting the number of breaks in a time series
• Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method
• Estimation and model selection based inference in single and multiple threshold models.
• A multi-scale approach for testing and detecting peaks in time series
• Generalized M‐fluctuation tests for parameter instability
• Multiple testing of local extrema for detection of change points
• Bootstrap confidence intervals for multiple change points based on moving sum procedures
• Sequential change-point detection in high-dimensional Gaussian graphical models
• Change‐point monitoring in linear models
• Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
• Multiscale Change Point Inference
• Localising change points in piecewise polynomials of general degrees
• FDR-control in multiscale change-point segmentation
• Consistent selection of the number of change-points via sample-splitting
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Delay times of sequential procedures for multiple time series regression models
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Inference and prediction in a multiple-structural-break model
• Estimating the locations and number of change points by the sample-splitting method
• Modelling structural breaks, long memory and stock market volatility: an overview
• Data-driven selection of the number of change-points via error rate control
• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Break detection in the covariance structure of multivariate time series models
• Critical values for multiple structural change tests
• ArCo: an artificial counterfactual approach for high-dimensional panel time-series data
• Estimation of multiple-regime regressions with least absolutes deviation
• ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS
• Empirical likelihood for break detection in time series
• Statistical inference for the shape parameter change-point estimator in negative associated gamma distribution
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• Testing and dating of structural changes in practice
• Robust inference in autoregressions with multiple outliers
• Bayesian multiple structural change-points estimation in time series models with genetic algorithm
• Maximum likelihood estimator in a multi-phase random regression model
• Testing for structural change of AR model to threshold AR model
• On testing for structural break of coefficients in factor-augmented regression models
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
• Nonparametric tests of moment condition stability
• Misspecification testing: non-invariance of expectations models of inflation
• Optimal forecasts in the presence of structural breaks
• Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
• Detecting multiple mean breaks at unknown points in official time series
• OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL
• Estimating and testing high dimensional factor models with multiple structural changes
• Time varying CAPM betas and banking sector risk
• On the reaction time of moving sum detectors
• Identification of the multiscale fractional Brownian motion with biomechanical applications
• The limit distribution of the estimates in cointegrated regression models with multiple structural changes
• Testing for structural change in regression quantiles
• An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models

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