Estimating and Testing Linear Models with Multiple Structural Changes
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Publication:4530902
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- Inference and prediction in a multiple-structural-break model
- Delay times of sequential procedures for multiple time series regression models
- \(\tau\)-estimators of regression models with structural change of unknown location
- Threshold effects in non-dynamic panels: Estimation, testing, and inference
- Quasi-maximum likelihood estimation for multiple volatility shifts
- Detecting multiple generalized change-points by isolating single ones
- Multiple breaks detection in general causal time series using penalized quasi-likelihood
- Testing economic convergence in non-stationary panel
- Nonparametric simultaneous testing for structural breaks
- Structural changes in the cointegrated vector autoregressive model
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- Testing for change points in partially linear models
- Bootstrap confidence intervals for multiple change points based on moving sum procedures
- Model selection in the presence of nonstationarity
- Limit theory for moderate deviations from a unit root with a break in variance
- Break detection in the covariance structure of multivariate time series models
- Estimating restricted structural change models
- Critical values for multiple structural change tests
- Delay time in monitoring jump changes in linear models
- Selection of estimation window in the presence of breaks
- Arbitrarily shaped multiple spatial cluster detection for case event data
- Nonparametric inference on structural breaks
- A multi-scale approach for testing and detecting peaks in time series
- Adaptive estimation of autoregressive models with time-varying variances
- 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
- Adaptive forecasting in the presence of recent and ongoing structural change
- Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search
- Estimating the locations and number of change points by the sample-splitting method
- ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS
- Consistent change-point detection with kernels
- Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
- Recursive computation of piecewise constant volatilities
- Data-driven selection of the number of change-points via error rate control
- Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
- Generalized M‐fluctuation tests for parameter instability
- Estimating the Hurst parameter in financial time series via heuristic approaches
- Estimating and Testing Structural Changes in Multivariate Regressions
- Group Lasso for structural break time series
- ArCo: an artificial counterfactual approach for high-dimensional panel time-series data
- Estimating structural changes in regression quantiles
- Inference on a structural break in trend with fractionally integrated errors
- 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
- Testing for multiple change points
- Testing jointly for structural changes in the error variance and coefficients of a linear regression model
- A computationally efficient nonparametric approach for changepoint detection
- Model selection by LASSO methods in a change-point model
- Model selection criteria in multivariate models with multiple structural changes
- Modelling structural breaks, long memory and stock market volatility: an overview
- Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
- Improved tests for forecast comparisons in the presence of instabilities
- Estimation and model selection based inference in single and multiple threshold models.
- Change-point testing for parallel data sets with FDR control
- BayesProject: fast computation of a projection direction for multivariate changepoint detection
- Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method
- Multiscale change point inference. With discussion and authors' reply
- Covariance changes detection in multivariate time series
- Estimation of multiple-regime regressions with least absolutes deviation
- The power of tests of predictive ability in the presence of structural breaks
- A nonparametric test for changing trends
- Likelihood ratio tests for multiple structural changes
- Nonparametric estimation of structural change points in volatility models for time series
- OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
- Nonparametric maximum likelihood approach to multiple change-point problems
- Inference for single and multiple change-points in time series
- Small sample properties of forecasts from autoregressive models under structural breaks
- Structural breaks with deterministic and stochastic trends
- Sequential change-point detection in high-dimensional Gaussian graphical models
- Change‐point monitoring in linear models
- Structural breaks in time series
- Strong rules for detecting the number of breaks in a time series
- Critical values and \(p\) values of Bessel process distributions: computation and application to structural break tests
- Multiple testing of local extrema for detection of change points
- 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
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