Optimal method in multiple regression with structural changes

DOI10.3150/14-BEJ642zbMath1388.62159arXiv1509.05581MaRDI QIDQ888480

Sévérien Nkurunziza, Fuqi Chen

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.05581

zbMATH Keywords

shrinkage estimators; restricted estimator; multiple regression; change-points; pre-test estimators; ADB; ADR; unrestricted estimator

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

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