Estimating and Testing Structural Changes in Multivariate Regressions
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- 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
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- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
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- On spatio-temporal model with diverging number of thresholds and its applications in housing market
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- 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
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- 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
- Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
- Detection of stationary errors in multiple regressions with integrated regressors and cointegration
- Estimator of a change point in single index models
- Exact test for breaks in covariance in multivariate regressions
- Testing for change in mean of independent multivariate observations with time varying covariance
- Improved estimation in tensor regression with multiple change-points
- Bootstrap confidence intervals for a break date in linear regressions
- Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
- Penetrating sporadic return predictability
- scientific article; zbMATH DE number 4090613 (Why is no real title available?)
- Constrained inference in multiple regression with structural changes
- Testing for multiple structural changes with non-homogeneous regressors
- Adaptive estimation of the threshold point in threshold regression
- Estimating and Testing Linear Models with Multiple Structural Changes
- Inference regarding multiple structural changes in linear models with endogenous regressors
- A class of Stein-rules in multivariate regression model with structural changes
- Likelihood-ratio-based confidence sets for the timing of structural breaks
- Quasi-maximum likelihood estimation of break point in high-dimensional factor models
- Factor-augmented regression models with structural change
- Dealing with Markov-switching parameters in quantile regression models
- Inference and testing breaks in large dynamic panels with strong cross sectional dependence
- Time series econometrics. Volume 2. Structural change
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