The asymptotic behaviour of the residual sum of squares in models with multiple break points

DOI10.1080/07474938.2017.1307523OpenAlexW2136944412MaRDI QIDQ5864643FDOQ5864643

Alastair Hall, Denise R. Osborn, Nikolaos Sakkas

Publication date: 8 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2017.1307523

zbMATH Keywords

two-stage least squareslinear modelsordinary least squaresnonlinear modelsUS monetary policyparameter change

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
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• Sample Splitting and Threshold Estimation
• Title not available (Why is that?)
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• Estimating restricted structural change models
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• Econometric Theory and Practice
• Inference in TAR Models
• Information criterion for Gaussian change-point model
• Inference regarding multiple structural changes in linear models with endogenous regressors
• The location of the maximum and asymmetric two-sided Brownian motion with triangular drift
• Estimation and inference in unstable nonlinear least squares models
• A DEFENSE OF THE FOMC*
• A Generalized R^2 Criterion for Regression Models Estimated by the Instrumental Variables Method
• Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Estimation of change-points in linear and nonlinear time series models
• Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares

Cited In (1)

• Generic consistency of the break-point estimators under specification errors in a multiple-break model

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