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)

• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Time series analysis of COVID-19 infection curve: a change-point perspective
• Do TFP and the relative price of investment share a common I(1) component?
• Bootstrapping structural change tests
• A comparison of single and multiple changepoint techniques for time series data
• Empirical likelihood for change point detection in autoregressive models
• Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
• A model-free consistent test for structural change in regression possibly with endogeneity
• Learning about banks' net worth and the slow recovery after the financial crisis
• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• Oil price and FX-rates dependency
• Modeling and testing smooth structural changes with endogenous regressors
• Ecological change points: the strength of density dependence and the loss of history
• Multiscale blind source separation
• Efficient estimation with time-varying information and the New Keynesian Phillips curve
• New distribution theory for the estimation of structural break point in mean
• Multiple structural breaks in cointegrating regressions: a model selection approach
• Asymptotic theory for time series with changing mean and variance
• Structural change in nonstationary \(\mathrm{AR}(1)\) models
• Inference on locally ordered breaks in multiple regressions
• Continuous record Laplace-based inference about the break date in structural change models
• Inference after estimation of breaks
• Structural break detecting in regression models
• On change-point estimation under Sobolev sparsity
• Nonparametric regression with multiple thresholds: estimation and inference
• A Kalman particle filter for online parameter estimation with applications to affine models
• Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
• An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks
• Characteristics, covariances, and structural breaks
• Moving ratio test for multiple changes in persistence
• Constructing a switching regression with unknown switching points
• Pre and post break parameter inference
• Unsupervised self-normalized change-point testing for time series
• Estimating information cost functions in models of rational inattention
• Inference for modulated stationary processes
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Inference on a structural break in trend with mildly integrated errors
• Multi-regime models for nonlinear nonstationary time series
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• A Bayesian piecewise linear model for the detection of breakpoints in housing prices
• A wavelet method for panel models with jump discontinuities in the parameters
• Estimation of change-points in linear and nonlinear time series models
• Nowcasting from disaggregates in the face of location shifts
• Estimating multiple breaks in nonstationary autoregressive models
• Rate of convergence for multiple change-points estimation of moving-average processes
• Exchange rate pass-through, monetary policy, and real exchange rates: Iceland and the 2008 crisis
• A change point analysis protocol for comparing intracellular transport by different molecular motor combinations
• TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
• 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

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