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)

• 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
• Testing for shifts in mean with monotonic power against multiple structural changes
• ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
• Growth accelerations
• Time-varying copula models for financial time series
• Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
• On consistency of minimum description length model selection for piecewise autoregressions
• Detection of transient change in mean -- a linear behavior inside epidemic interval
• Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration
• Penalized least absolute deviations estimation for nonlinear model with change-points
• A permutation information theory tour through different interest rate maturities: the Libor case
• Generic consistency of the break-point estimators under specification errors in a multiple-break model
• Estimating nonlinear regression with and without change-points by the LAD method
• Detection of structural breaks in a time-varying heteroskedastic regression model
• Structural changes in multivariate regression models
• Simple linear regression with multiple level shifts
• Change-point model selection via AIC
• Testing for changes in polynomial regression
• The M-estimation in a multi-phase random nonlinear model
• How can we Define the Concept of Long Memory? An Econometric Survey
• Detecting big structural breaks in large factor models
• Level changes in volatility models
• Forecasting inflation using commodity price aggregates
• The impact of multiple structural changes on mortality predictions
• Empirical likelihood test in a posteriori change-point nonlinear model
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Time series regression with persistent level shifts
• Testing for structural breaks in dynamic factor models
• Unit root tests with a break in innovation variance.
• Rolling window selection for out-of-sample forecasting with time-varying parameters
• Asymptotics of M-estimators in two-phase linear regression models.
• Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age?
• Change detection in linear regression with time series errors
• Estimation of a level shift in panel data with fractionally integrated errors
• Break detection for a class of nonlinear time series models
• Testing for factor loading structural change under common breaks
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Application of modified information criterion to multiple change point problems
• Common breaks in means and variances for panel data
• Factor-augmented regression models with structural change
• Granger causality, exogeneity, cointegration, and economic policy analysis
• A flexible approach to parametric inference in nonlinear and time varying time series models
• Fractional integration versus level shifts: the case of realized asset correlations
• Estimation of heterogeneous panels with structural breaks
• Testing for change points in time series models and limiting theorems for NED sequences
• Time-varying multi-regime models fitting by genetic algorithms
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Multiple break detection in the correlation structure of random variables
• Threshold regression with endogeneity
• A sequential procedure for determining the number of regimes in a threshold autoregressive model
• 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

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