Estimation and inference in unstable nonlinear least squares models

DOI10.1016/J.JECONOM.2012.09.004zbMATH Open1443.62433OpenAlexW2163173380MaRDI QIDQ528129FDOQ528129

Authors: Otilia Boldea, Alastair Hall 

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002205

Recommendations

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zbMATH Keywords

nonlinear least squaressmooth transitionmultiple breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (12)

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

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