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)- Detecting big structural breaks in large factor models
- Level changes in volatility models
- Growth accelerations
- Forecasting inflation using commodity price aggregates
- Granger causality, exogeneity, cointegration, and economic policy analysis
- Testing for structural change of AR model to threshold AR model
- Testing for change points in time series models and limiting theorems for NED sequences
- Testing for factor loading structural change under common breaks
- Change-point model selection via AIC
- Empirical likelihood for break detection in time series
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Detecting multiple mean breaks at unknown points in official time series
- Statistical inference for the shape parameter change-point estimator in negative associated gamma distribution
- Change detection in linear regression with time series errors
- Time varying CAPM betas and banking sector risk
- On the reaction time of moving sum detectors
- Time-varying copula models for financial time series
- Estimation of a level shift in panel data with fractionally integrated errors
- On testing for structural break of coefficients in factor-augmented regression models
- Optimal forecasts in the presence of structural breaks
- Multiple break detection in the correlation structure of random variables
- Identification of the multiscale fractional Brownian motion with biomechanical applications
- Estimating nonlinear regression with and without change-points by the LAD method
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
- Break detection for a class of nonlinear time series models
- THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
- Robust inference in autoregressions with multiple outliers
- Inference regarding multiple structural changes in linear models with endogenous regressors
- Nonparametric tests of moment condition stability
- OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL
- Application of modified information criterion to multiple change point problems
- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- The impact of multiple structural changes on mortality predictions
- An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models
- Common breaks in means and variances for panel data
- A flexible approach to parametric inference in nonlinear and time varying time series models
- Detection of transient change in mean -- a linear behavior inside epidemic interval
- Fractional integration versus level shifts: the case of realized asset correlations
- Time-varying multi-regime models fitting by genetic algorithms
- Detection of structural breaks in a time-varying heteroskedastic regression model
- Misspecification testing: non-invariance of expectations models of inflation
- Estimation of heterogeneous panels with structural breaks
- Maximum likelihood estimator in a multi-phase random regression model
- Unit root tests with a break in innovation variance.
- Testing and dating of structural changes in practice
- Testing for changes in polynomial regression
- The M-estimation in a multi-phase random nonlinear model
- Testing for shifts in mean with monotonic power against multiple structural changes
- 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
- Estimating and testing high dimensional factor models with multiple structural changes
- Asymptotics of M-estimators in two-phase linear regression models.
- Generic consistency of the break-point estimators under specification errors in a multiple-break model
- Factor-augmented regression models with structural change
- Empirical likelihood test in a posteriori change-point nonlinear model
- ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
- Structural changes in multivariate regression models
- Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age?
- 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
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
- A permutation information theory tour through different interest rate maturities: the Libor case
- Threshold regression with endogeneity
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Testing for structural change in regression quantiles
- How can we Define the Concept of Long Memory? An Econometric Survey
- A sequential procedure for determining the number of regimes in a threshold autoregressive model
- Testing for structural breaks in dynamic factor models
- Simple linear regression with multiple level shifts
- Time series regression with persistent level shifts
- 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
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