Bootstrap confidence intervals for a break date in linear regressions

DOI10.1080/00949655.2020.1777998MaRDI QIDQ5033432zbMATH OpenOpenAlexFDO

Authors Seong Yeon Chang

Publication date 23 February 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2020.1777998

zbMATH Keywords

block bootstrapMonte Carlo simulationsserial correlationsieve bootstrapstationary bootstrapstochastic regressor

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
• A modified confidence set for the structural break date in linear regression models
• A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Block-Length Selection for the Dependent Bootstrap
• Bootstrap confidence intervals in a switching regressions model
• Bootstrapping confidence intervals for the change-point of time series
• Change-point problem and bootstrap
• Confidence sets for the date of a single break in linear time series regressions
• Confidence Sets in Change-Point Problems
• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• Edgeworth correction by bootstrap in autoregressions
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating and testing multiple structural changes in linear models using band spectral regressions
• Estimating and Testing Structural Changes in Multivariate Regressions
• Estimating restricted structural change models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 1487640 (Why is no real title available?)
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Sieve bootstrap for smoothing in nonstationary time series
• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations
• The Stationary Bootstrap
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time series: theory and methods.
• Unit root testing via the stationary bootstrap

Cited in

(1)

• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models

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