Estimating and testing multiple structural changes in linear models using band spectral regressions

DOI10.1111/ECTJ.12010MaRDI QIDQ5093216zbMATH OpenOpenAlexFDO

Authors Yohei Yamamoto, Pierre Perron

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd12-250.pdf

zbMATH Keywords

band spectral regressionbusiness-cyclehours-productivitylow-frequency contaminationsmultiple structural changes

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• Bootstrap confidence intervals for a break date in linear regressions
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
• Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19

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