GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS

DOI10.1017/S0266466621000013zbMATH Open1493.62598arXiv1803.10871OpenAlexW3129755835MaRDI QIDQ5065458FDOQ5065458

Authors: Alessandro Casini, Pierre Perron 

Publication date: 21 March 2022

Published in: Econometric Theory (Search for Journal in Brave)

Abstract: Under the classical long-span asymptotic framework we develop a class of Generalized Laplace (GL) inference methods for the change-point dates in a linear time series regression model with multiple structural changes analyzed in, e.g., Bai and Perron (1998). The GL estimator is defined by an integration rather than optimization-based method and relies on the least-squares criterion function. It is interpreted as a classical (non-Bayesian) estimator and the inference methods proposed retain a frequentist interpretation. This approach provides a better approximation about the uncertainty in the data of the change-points relative to existing methods. On the theoretical side, depending on some input (smoothing) parameter, the class of GL estimators exhibits a dual limiting distribution; namely, the classical shrinkage asymptotic distribution, or a Bayes-type asymptotic distribution. We propose an inference method based on Highest Density Regions using the latter distribution. We show that it has attractive theoretical properties not shared by the other popular alternatives, i.e., it is bet-proof. Simulations confirm that these theoretical properties translate to better finite-sample performance.

Full work available at URL: https://arxiv.org/abs/1803.10871

Recommendations

• Statistical inference for multiple change‐point models
• Improved inference in generalized mean-reverting processes with multiple change-points
• Efficient multiple change point detection for high‐dimensional generalized linear models
• Maximum likelihood estimation of multiple change points
• Nonparametric maximum likelihood approach to multiple change-point problems
• Consistent multiple changepoint estimation with fused Gaussian graphical models
• Inference in a multivariate generalized mean-reverting process with a change-point
• Maximum likelihood estimation in the multi-path change-point problem

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
• The likelihood ratio test for a change-point in simple linear regression
• Title not available (Why is that?)
• Asymptotic normality of plug-in level set estimates
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Title not available (Why is that?)
• Testing and estimating change-points in time series
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Title not available (Why is that?)
• Estimating and Testing Linear Models with Multiple Structural Changes
• The maximum likelihood method for testing changes in the parameters of normal observations
• Asymptotics and optimal bandwidth selection for highest density region estimation
• Improved tests for forecast comparisons in the presence of instabilities
• Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support
• An MCMC approach to classical estimation.
• Testing for the Constancy of Parameters Over Time
• Cube root asymptotics
• Some Problems Connected with Statistical Inference
• Title not available (Why is that?)
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Structural breaks with deterministic and stochastic trends
• Inference about the change-point from cumulative sum tests
• Estimating and Testing Structural Changes in Multivariate Regressions
• Estimating structural changes in regression quantiles
• Estimating restricted structural change models
• Asymptotic relations of M-estimates and R-estimates in linear regression model
• Confidence sets for the date of a single break in linear time series regressions
• Testing a Sequence of Observations for a Shift in Location
• Tests for changing mean with monotonic power
• Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
• Nonmonotonic power for tests of a mean shift in a time series§
• On convergence of posterior distributions
• Classical Laplace estimation for \(\root3\of n\)-consistent estimators: improved convergence rates and rate-adaptive inference
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Conditional Confidence Level Properties
• A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
• Some contributions to the asymptotic theory of Bayes solutions
• On some difficulties in a frequency theory of inference
• Some Validity Criteria for Statistical Inferences
• The ABC of simulation estimation with auxiliary statistics
• A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• New distribution theory for the estimation of structural break point in mean
• Continuous record Laplace-based inference about the break date in structural change models
• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
• Credibility of confidence sets in nonstandard econometric problems
• Title not available (Why is that?)

Cited In (10)

• In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
• Prewhitened long-run variance estimation robust to nonstationarity
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• Change-point analysis of time series with evolutionary spectra
• Markov bases for two-way change-point models of ladder determinantal tables
• Random change point model with an application to the China household finance survey
• Statistical inference for multiple change‐point models
• Estimating a common break point in means for long-range dependent panel data
• Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
• Testing for homogeneous thresholds in threshold regression models

This page was built for publication: GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5065458)