Estimating and Testing Linear Models with Multiple Structural Changes
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Publication:4530902
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
Recommendations
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
- Testing for common breaks in a multiple equations system
- Estimation of nonlinear error correction models
- International mobility of capital in the United States: robust evidence from time-series tests
- A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
- Portfolio diversification in the sovereign credit swap markets
- Interest rate spreads and output: a time scale decomposition analysis using wavelets
- Title not available (Why is that?)
- Localized level crossing random walk test robust to the presence of structural breaks
- Structural-break models under mis-specification: implications for forecasting
- Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
- A piecewise polynomial trend against long range dependence
- Analyzing cross-validation for forecasting with structural instability
- Specification tests for time-varying coefficient models
- Structural changes estimation for strongly dependent processes
- Testing for parameter instability in predictive regression models
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
- A modified confidence set for the structural break date in linear regression models
- Improved confidence sets for the date of a structural break
- Multiple structural changes in the tail behavior: Evidence from stock index futures returns
- Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts
- The long memory HEAVY process: modeling and forecasting financial volatility
- Testing for parameter instability and structural change in persistent predictive regressions
- On unit root testing with smooth transitions
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