Time series regression with persistent level shifts

DOI10.1016/j.spl.2015.03.011zbMath1332.62351OpenAlexW2040809183MaRDI QIDQ889016

Jonathan Woody

Publication date: 5 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.03.011

zbMATH Keywords

changepointstime serieslinear modelrenewal process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Renewal theory (60K05)

Cites Work

• A linear regression model with persistent level shifts: an alternative to infill asymptotics
• Testing for changes in polynomial regression
• Estimation of a change-point in the mean function of functional data
• Consistent regression estimation with fixed design points under dependence conditions
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Structural breaks in time series
• Inference for single and multiple change-points in time series
• Inference about the Point of Change in a Regression Model
• Estimating and Testing Linear Models with Multiple Structural Changes
• Simple linear regression with multiple level shifts
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