Estimating and Testing Structural Changes in Multivariate Regressions

Cited In (only showing first 100 items - show all)

Title not available (Why is that?)
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
Autoregressive Order Identification for VAR Models with Non Constant Variance
Detecting change points in the stress-strength reliability \(P(X < Y)\)
Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
Peter Schmidt: Econometrician and consummate professional
Block bootstrapping for a panel mean break test
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
High-dimensional data segmentation in regression settings permitting temporal dependence and non-Gaussianity
Change Point Detection with Multivariate Observations Based on Characteristic Functions
Bayesian analysis of a linear model involving structural changes in either regression parameters or disturbances precision
Structural Breaks in Grouped Heterogeneity
The likelihood ratio test for structural changes in factor models
Change point test for structural vector autoregressive model via independent component analysis
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
Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
Bootstrap confidence intervals for a break date in linear regressions
Improved estimation in tensor regression with multiple change-points
A Semiparametric Change-Point Regression Model for Longitudinal Observations
Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
Penetrating sporadic return predictability
A class of Stein-rules in multivariate regression model with structural changes
Dealing with Markov-switching parameters in quantile regression models
GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
Reprint of: The likelihood ratio test for structural changes in factor models
Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration
Revisiting the Great Moderation : policy or luck?
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
New penalty in information criteria for the ARCH sequence with structural changes
GLS estimation and confidence sets for the date of a single break in models with trends
Two tests for sequential detection of a change-point in a nonlinear model
A general procedure for change-point detection in multivariate time series
THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
Testing for common breaks in a multiple equations system
Delay time in monitoring jump changes in linear models
Extreme value theory for stochastic integrals of Legendre polynomials
Bootstrapping structural change tests
Testing for change points in partially linear models
Testing for structural breaks in factor copula models
On estimation of the change points in multivariate regression models with structural changes
A model-free consistent test for structural change in regression possibly with endogeneity
Estimating and testing high dimensional factor models with multiple structural changes
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
A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
Estimating structural changes in regression quantiles
Title not available (Why is that?)
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
Title not available (Why is that?)
Model selection criteria in multivariate models with multiple structural changes
Structural breaks in time series
The limit distribution of the estimates in cointegrated regression models with multiple structural changes
Testing for structural change in regression quantiles
Specification tests for time-varying coefficient models
Testing for shifts in mean with monotonic power against multiple structural changes
Multiple structural breaks in cointegrating regressions: a model selection approach
Detection of structural breaks in linear dynamic panel data models
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
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
Estimating a common deterministic time trend break in large panels with cross sectional dependence
Variable selection in panel models with breaks
On Testing Changes in Autoregressive Parameters of a VAR Model
Structural changes in multivariate regression models
Optimal method in multiple regression with structural changes
Inference on locally ordered breaks in multiple regressions
Testing for structural changes in linear regressions with time-varying variance
Continuous record Laplace-based inference about the break date in structural change models
SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS
Testing for changes in polynomial regression
Adaptive LASSO model selection in a multiphase quantile regression
Nonparametric regression with multiple thresholds: estimation and inference
Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
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
Estimator of a change point in single index models
Testing for change in mean of independent multivariate observations with time varying covariance
Title not available (Why is that?)
Testing for multiple structural changes with non-homogeneous regressors
Adaptive estimation of the threshold point in threshold regression
Inference regarding multiple structural changes in linear models with endogenous regressors
Likelihood-ratio-based confidence sets for the timing of structural breaks
A wavelet method for panel models with jump discontinuities in the parameters
Factor-augmented regression models with structural change
Inference and testing breaks in large dynamic panels with strong cross sectional dependence
Estimation of change-points in linear and nonlinear time series models
Change-Points: From Sequential Detection to Biology and Back
Autoregressive spectral estimates under ignored changes in the mean
Estimation of heterogeneous panels with structural breaks

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