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)

• Piecewise autoregression for general integer-valued time series
• Estimation of high dimensional factor model with multiple threshold-type regime shifts
• Causality tests and conditional heteroskedasticity: Monte Carlo evidence
• Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
• Asymptotic distribution of the jump change-point estimator
• The European growth synchronization through crises and structural changes
• Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application
• Model specification in panel data unit root tests with an unknown break
• A joint test for structural stability and a unit root in autoregressions
• Deterministic versus stochastic seasonal fractional integration and structural breaks
• Deviations from rules-based policy and their effects
• Drift and breaks in labor productivity
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• Stochastic models in the problems of predicting the epidemiological situation
• Inflation persistence under semi-fixed exchange rate regimes: the European evidence 1974--1998
• New Improved Tests for Cointegration with Structural Breaks
• Estimation of large dimensional factor models with an unknown number of breaks
• Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks
• Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
• Forecasting long memory time series when occasional breaks occur
• Detection of structural breaks in linear dynamic panel data models
• Estimating break points in a time series regression with structural changes
• 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
• Testing for parameter constancy in the time series direction in panel data models
• Mean and volatility dynamics of indian rupee/US dollar exchange rate series: an empirical investigation
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• International capital flows and expectation-driven boom-bust cycles in the housing market
• Spurious regression
• On unit root testing with smooth transitions
• Variable selection in panel models with breaks
• Fractional integration and structural breaks at unknown periods of time
• Testing for structural changes in linear regressions with time-varying variance
• Modeling trend processes in parametric mortality models
• Adaptive LASSO model selection in a multiphase quantile regression
• Forecasting a long memory process subject to structural breaks
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
• Spurious Regression Under Broken-Trend Stationarity
• Asymptotic properties of semiparametric \(M\)-estimators with multiple change points
• Recursive forecast combination for dependent heterogeneous data
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Multiple spatio-temporal cluster detection for case event data: an ordering-based approach
• Testing for multiple structural changes with non-homogeneous regressors
• Structural changes and unit roots in non-stationary time series
• A confidence interval test for the detection of structural breaks
• A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Confidence distributions for change-points and regime shifts
• Specification analysis in regime-switching continuous-time diffusion models for market volatility
• Structural change estimation in time series regressions with endogenous variables
• Testing for unit roots in autoregressions with multiple level shifts
• Non-monotonic penalizing for the number of structural breaks
• Structural change models with an application in cryogenic thermometry
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
• An evaluation of some methods used for determination of homogenous structural break point in mean of panel data
• Title not available (Why is that?)
• Modeling and forecasting of stock markets under a system adaptation framework
• Model selection when there are multiple breaks
• Estimation and inference in unstable nonlinear least squares models
• Segmenting mean-nonstationary time series via trending regressions
• Detecting multiple generalized change-points by isolating single ones
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• 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
• 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
• 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
• OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL
• 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
• 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

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