Constrained inference in multiple regression with structural changes

DOI10.1515/STRM-2012-1154zbMATH Open1308.62051OpenAlexW131345438MaRDI QIDQ490346FDOQ490346

Authors: Fuqi Chen, Sévérien Nkurunziza 

Publication date: 22 January 2015

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2012-1154

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zbMATH Keywords

asymptotic normalityregression modelleast-squares estimatorchange-pointsmixingalestructural changes model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Parametric inference under constraints (62F30)

Cited In (5)

• Improved inference in generalized mean-reverting processes with multiple change-points
• Inference for non-stationary time series regression with or without inequality constraints
• Structural changes in multivariate regression models
• Optimal method in multiple regression with structural changes
• Multivariate regression model with constraints

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