Estimating and Testing Linear Models with Multiple Structural Changes
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Publication:4530902
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(only showing first 100 items - show all)- On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
- Continuous record Laplace-based inference about the break date in structural change models
- Inference after estimation of breaks
- A model-free consistent test for structural change in regression possibly with endogeneity
- Modeling and testing smooth structural changes with endogenous regressors
- 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
- Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
- Oil price and FX-rates dependency
- Exchange rate pass-through, monetary policy, and real exchange rates: Iceland and the 2008 crisis
- Inference on a structural break in trend with mildly integrated errors
- Do TFP and the relative price of investment share a common I(1) component?
- Bootstrapping structural change tests
- On change-point estimation under Sobolev sparsity
- Estimating multiple breaks in nonstationary autoregressive models
- Asymptotic theory for time series with changing mean and variance
- Estimating information cost functions in models of rational inattention
- Nowcasting from disaggregates in the face of location shifts
- Inference on locally ordered breaks in multiple regressions
- Rate of convergence for multiple change-points estimation of moving-average processes
- TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
- A comparison of single and multiple changepoint techniques for time series data
- Empirical likelihood for change point detection in autoregressive models
- 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
- Inference for modulated stationary processes
- Constructing a switching regression with unknown switching points
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Pre and post break parameter inference
- Multi-regime models for nonlinear nonstationary time series
- Time series analysis of COVID-19 infection curve: a change-point perspective
- Estimating multiple breaks in mean sequentially with fractionally integrated errors
- Unsupervised self-normalized change-point testing for time series
- 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
- Nonparametric regression with multiple thresholds: estimation and inference
- Learning about banks' net worth and the slow recovery after the financial crisis
- 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
- Structural break detecting in regression models
- New distribution theory for the estimation of structural break point in mean
- Likelihood-ratio-based confidence sets for the timing of structural breaks
- A Kalman particle filter for online parameter estimation with applications to affine models
- Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
- Estimation of change-points in linear and nonlinear time series models
- Structural change in nonstationary \(\mathrm{AR}(1)\) models
- A change point analysis protocol for comparing intracellular transport by different molecular motor combinations
- Structural-break models under mis-specification: implications for forecasting
- Which econometric specification to characterize the U.S. inflation rate process?
- 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
- Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
- The macroeconomic and fiscal implications of inflation forecast errors
- Dating multiple change points in the correlation matrix
- scientific article; zbMATH DE number 7387535 (Why is no real title available?)
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
- Least squares estimation and tests of breaks in mean and variance under misspecification
- Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
- Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model
- Modeling trend processes in parametric mortality models
- Maximizing equity market sector predictability in a Bayesian time-varying parameter model
- Structural changes estimation for strongly dependent processes
- Multiple spatio-temporal cluster detection for case event data: an ordering-based approach
- Testing for parameter instability and structural change in persistent predictive regressions
- Gradient-based structural change detection for nonstationary time series M-estimation
- Asymptotic theory for regressions with smoothly changing parameters
- What is the globalisation of inflation?
- An omnibus test to detect time-heterogeneity in time series
- The transmission of shocks between Europe, Japan and the United States
- Estimation of nonlinear error correction models
- Portfolio diversification in the sovereign credit swap markets
- Testing for common breaks in a multiple equations system
- Inference of Breakpoints in High-dimensional Time Series
- Interest rate spreads and output: a time scale decomposition analysis using wavelets
- Estimating networks with jumps
- Asymptotic properties of semiparametric \(M\)-estimators with multiple change points
- Operational time of the Korea stock markets
- ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- Heterogeneous response of disaggregate inflation to monetary policy regime change: the role of price stickiness
- A piecewise polynomial trend against long range dependence
- Autoregressive prediction with rolling mechanism for time series forecasting with small sample size
- Testing for parameter instability in predictive regression models
- International mobility of capital in the United States: robust evidence from time-series tests
- Is MORE LESS? The role of data augmentation in testing for structural breaks
- A two-step procedure for testing partial parameter stability in cointegrated regression models
- Localized level crossing random walk test robust to the presence of structural breaks
- A modified confidence set for the structural break date in linear regression models
- A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
- Improved confidence sets for the date of a structural break
- Wald tests for detecting multiple structural changes in persistence
- On unit root testing with smooth transitions
- Asymptotic distribution theory for break point estimators in models estimated via 2SLS
- Another numerical method of finding critical values for the Andrews stability test
- Modelling long-run trends and cycles in financial time series data
- The long memory HEAVY process: modeling and forecasting financial volatility
- Regime changes and interest rate risk
- Detecting structural changes under nonstationary volatility
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