Estimating and Testing Structural Changes in Multivariate Regressions
From MaRDI portal
(Redirected from Publication:5437900)
Recommendations
Cited in
(only showing first 100 items - show all)- A wavelet method for panel models with jump discontinuities in the parameters
- Autoregressive order identification for VAR models with non constant variance
- GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
- Estimation of change-points in linear and nonlinear time series models
- Estimating and testing multiple structural changes in linear models using band spectral regressions
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- Revisiting the Great Moderation : policy or luck?
- Reprint of: The likelihood ratio test for structural changes in factor models
- Autoregressive spectral estimates under ignored changes in the mean
- Estimation of heterogeneous panels with structural breaks
- On testing changes in autoregressive parameters of a VAR model
- The asymptotic behaviour of the residual sum of squares in models with multiple break points
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
- A note on the structural change test in highly parameterized psychometric models
- Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure
- Spatial panel data models with structural change
- Asymptotic distribution theory for break point estimators in models estimated via 2SLS
- An I(2) cointegration model with piecewise linear trends
- New penalty in information criteria for the ARCH sequence with structural changes
- scientific article; zbMATH DE number 4013835 (Why is no real title available?)
- Estimation and inference in unstable nonlinear least squares models
- Detecting Multiple Change Points: The PULSE Criterion
- Two tests for sequential detection of a change-point in a nonlinear model
- Testing and dating of structural changes in practice
- Testing for common breaks in a multiple equations system
- GLS estimation and confidence sets for the date of a single break in models with trends
- THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
- Oracle efficient estimation of structural breaks in cointegrating regressions
- A general procedure for change-point detection in multivariate time series
- A semiparametric change-point regression model for longitudinal observations
- Delay time in monitoring jump changes in linear models
- scientific article; zbMATH DE number 7626763 (Why is no real title available?)
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- Extreme value theory for stochastic integrals of Legendre polynomials
- On spatio-temporal model with diverging number of thresholds and its applications in housing market
- Bootstrapping structural change tests
- Testing for change points in partially linear models
- Testing for structural breaks in factor copula models
- Testing jointly for structural changes in the error variance and coefficients of a linear regression model
- A model-free consistent test for structural change in regression possibly with endogeneity
- Detecting change points in the stress-strength reliability \(P(X < Y)\)
- On estimation of the change points in multivariate regression models with structural changes
- Estimating and testing high dimensional factor models with multiple structural changes
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Estimating restricted structural change models
- Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
- Portfolio diversification in the sovereign credit swap markets
- Estimating structural changes in regression quantiles
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
- Finite sample multivariate structural change tests with application to energy demand models
- Peter Schmidt: Econometrician and consummate professional
- ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
- Shrinkage estimation of regression models with multiple structural changes
- Change-points: from sequential detection to biology and back
- scientific article; zbMATH DE number 7387535 (Why is no real title available?)
- Block bootstrapping for a panel mean break test
- A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
- Efficient estimation with time-varying information and the New Keynesian Phillips curve
- Model selection criteria in multivariate models with multiple structural changes
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Testing for structural change in regression quantiles
- Asymptotic properties of Bayesian inference in linear regression with a structural break
- Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
- scientific article; zbMATH DE number 5200024 (Why is no real title available?)
- Structural breaks in time series
- High-dimensional data segmentation in regression settings permitting temporal dependence and non-Gaussianity
- Specification tests for time-varying coefficient models
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Detection of structural breaks in linear dynamic panel data models
- Retrospective analysis of structural changes in econometric models
- Testing for shifts in mean with monotonic power against multiple structural changes
- Change-point detection in a tensor regression model
- Improved confidence sets for the date of a structural break
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- Estimating a common deterministic time trend break in large panels with cross sectional dependence
- Testing for parameter constancy in the time series direction in panel data models
- A Bayesian model for multiple change point to extremes, with application to environmental and financial data
- Change Point Detection with Multivariate Observations Based on Characteristic Functions
- Variable selection in panel models with breaks
- Instability of Factor Strength in Asset Returns
- Optimal method in multiple regression with structural changes
- Structural changes in multivariate regression models
- Bayesian analysis of a linear model involving structural changes in either regression parameters or disturbances precision
- Testing for structural changes in linear regressions with time-varying variance
- Continuous record Laplace-based inference about the break date in structural change models
- Inference on locally ordered breaks in multiple regressions
- Testing for changes in polynomial regression
- Structural Breaks in Grouped Heterogeneity
- Change point test for structural vector autoregressive model via independent component analysis
- The likelihood ratio test for structural changes in factor models
- Multiple change-point models for time series
- Estimation and Inference on Time-Varying FAVAR Models
- Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Modelling time-varying relations in housing prices: a semiparametric panel approach
- Adaptive LASSO model selection in a multiphase quantile regression
- Structural changes during a century of the world's most popular sport
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
- Nonparametric regression with multiple thresholds: estimation and inference
- Exchange rate pass-through to consumer prices: the increasing role of energy prices
This page was built for publication: Estimating and Testing Structural Changes in Multivariate Regressions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5437900)
