Estimation and inference in unstable nonlinear least squares models

Recommendations

Estimating and Testing Linear Models with Multiple Structural Changes
Nonparametric inference on structural breaks
Testing for smooth structural changes in time series models via nonparametric regression
Inference in Nonlinear Econometric Models with Structural Change
Testing for smooth transition nonlinearity in partially nonstationary vector autoregressions

Cites work

scientific article; zbMATH DE number 3944996 (Why is no real title available?)
scientific article; zbMATH DE number 4043108 (Why is no real title available?)
scientific article; zbMATH DE number 1168350 (Why is no real title available?)
scientific article; zbMATH DE number 947422 (Why is no real title available?)
A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
Approximate p-values of certain tests involving hypotheses about multiple breaks
Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks
Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
Chapter 11 Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany
Critical values for multiple structural change tests
Econometric Theory and Practice
End-of-Sample Instability Tests
Estimating and Testing Linear Models with Multiple Structural Changes
Estimating and Testing Structural Changes in Multivariate Regressions
Estimating restricted structural change models
Inference in Nonlinear Econometric Models with Structural Change
Inference regarding multiple structural changes in linear models with endogenous regressors
LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
Likelihood ratio tests for multiple structural changes
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Markov chains and stochastic stability
Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.
ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
Specification, estimation, and evaluation of smooth transition autoregressive models
Testing for structural change in conditional models
Testing the adequacy of smooth transition autoregressive models
Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(12)

Nonlinear unbiased estimation in linear models^†
Time-varying instrumental variable estimation
Approximate p-values of certain tests involving hypotheses about multiple breaks
Empirical likelihood confidence regions for the parameters of a two phases nonlinear model with and without missing response data
ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
Modelling breaks and clusters in the steady states of macroeconomic variables
Conditional least squares estimation in nonstationary nonlinear stochastic regression models
Efficient estimation of the parameter path in unstable time series models
Real time change-point detection in a nonlinear quantile model
Empirical likelihood test in a posteriori change-point nonlinear model
Chapter 7 Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series
The asymptotic behaviour of the residual sum of squares in models with multiple break points

This page was built for publication: Estimation and inference in unstable nonlinear least squares models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528129)