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
• 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
• 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
• 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
• Variable selection in panel models with breaks
• Fractional integration and structural breaks at unknown periods of time

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